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st: How to improve accuracy in numerical integrations using Stata

From   "Tiago V. Pereira" <>
Subject   st: How to improve accuracy in numerical integrations using Stata
Date   Fri, 23 Dec 2011 14:45:27 -0200 (BRST)

Dear Maarten,

I don't have a clue on how to select specific knots, but I will
investigate that.
As usual (since 2005!) I thank you very much for you time and extremely
helpful tips!

All the best,


Dear statalisters,

I am using -integ- to numerically integrate a set of functions.

An example of a function to integrate:

function_y  = -2*normal((-`x'-`r'*z)/sqrt(1-`r'^2))*normalden(z)

for variable z.

In my case, the domain ranges from 0 to `x'.

So, what I am doing is  the following:

*/ ------------ start example --------------
local r = 0.1
local x = 6
drop _all
range z 0 `x' 1000
generate y  = -2*normal((-`x'-`r'*z)/sqrt(1-`r'^2))*normalden(z)
dydx     y z, gen(yprime)
integ    y z, gen(Sy)
*/ ------- end example ------------------

dis r(integral)

to gain more precision, I have manually edited -integ- to compute values
using the double format (i.e. instead of 'gen float variable = ', it is
using 'gen double variable =').

It seems that some precision is gained:

[using the exactly same code above, but using the 'double' version, one

dis r(integral)


I know that the correct answer would be something like:


which is obtained from numerical integration using a C program (supposed
to be the most precise approach I am aware of).

Do you have any ideas on how to further increase the precision for
numerical integration in Stata? The problem is that I am working on heavy
tails (alpha levels below 10^-8).

All the best,


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