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INTEGRATE: Stata module to perform one-dimensional integration

Author

Listed:
  • Adrian Mander

Programming Language

Stata

Abstract

A command that implements numerical integration for one dimensional functions. It uses three quadrature algorithms: Gauss-Legendre quadrature for definite integrals; Gauss-Laguerre quadrature when the upper limit is infinite; and Gauss Hermite quadrature when the limits are both infinite. The implementation allows any function to be specified as an argument although it is much faster if the function can allow vector calculations but this is not a necessary condition. The command is written in a combination of Stata and Mata for speed.

Suggested Citation

  • Adrian Mander, 2012. "INTEGRATE: Stata module to perform one-dimensional integration," Statistical Software Components S457429, Boston College Department of Economics, revised 10 Aug 2018.
    • Handle: RePEc:boc:bocode:s457429
    Note: This module should be installed from within Stata by typing "ssc install integrate". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/i/integrate.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/integrate.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mf_integrate.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lintegrate.mlib
    File Function: Mata object library
    Download Restriction: no
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    Citations

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    Cited by:

    1. Judith Anne Clarke, 2017. "Model Averaging OLS and 2SLS: An Application of the WALS Procedure," Econometrics Working Papers 1701, Department of Economics, University of Victoria.

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