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st: iid draw from a truncated normal distribution

From   "Alexander Kalb" <[email protected]>
To   <[email protected]>
Subject   st: iid draw from a truncated normal distribution
Date   Mon, 22 Sep 2008 15:01:58 +0200

I would like to create an iid draw form a truncated normal distribution
(on the left and right side) with standard deviation 0.5 (in the
untruncated case). I tried the following commands:

set obs 10000
gen c = -2  /*left truncation point*/
gen d = 2 /*right truncation point*/
gen stdv = 0.5  /*standard deviation*/
gen v = uniform()
gen c_bar = c/stdv
gen d_bar = d/stdv
gen v_bar = (normal(c_bar) + (normal(d_bar) - normal(c_bar))*v)
gen u = stdv*invnorm(v_bar)

This seems to work but it shifts the truncation points below 2 and
above -2. Has anybody an idea how I can get an iid draw (with standard
deviaton of 0.5 in the untruncated case) which does not shift the
truncation points?

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