Dear all,
Let me expand a little on my last e-mail. In the last few years Maximum Simulated likelihood has been proposed as a good alternative for estimating models where various random effects are present so that maximum likelihood estimation requires multivariate integration. Though Gauss-Hermite integration is possible with, say, four or less random effects, integration by simulation seems to be a promising alternative. Integration by simulation can be based on random draws from a uniform. However, it has been suggested in the literature that using Halton draws (which are systematic and cover better the 0-1 interval) is better. For these reasons I would like to use Halton draws to write a simulated maximum likelihood routine.
I have found however that this is not an easy task in Stata, as most Halton generators currently available are written in low level language on the basis of programming facilities that we do not have in Stata. I am sure there is a Stata way to do it, I just cannot imagine an efficient way (all my ideas crash with the length limits of macros and matrices in Stata).
Can you contribute some ideas?
Does Stata Corp. has something to say on this regard?
Many thanks,
Alfonso.
=====================================
Alfonso Miranda
PhD Student
Economics Department
University of Warwick
Coventry CV4 7AL
E-mail:[email protected]
WebPage: http://www.warwick.ac.uk/go/amiranda
=====================================
>>> [email protected] 08/06/04 17:20 PM >>>
Dear all,
Is there any way (i.e., code) of obtaining Halton draws in Stata? Could you point me to the right direction?
Best,
Alfonso.
=====================================
Alfonso Miranda
PhD Student
Economics Department
University of Warwick
Coventry CV4 7AL
E-mail:[email protected]
WebPage: http://www.warwick.ac.uk/go/amiranda
=====================================
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