Perils of Simulation: Parallel Streams and the Case of Stata's Rnormal Command

18 Pages Posted: 20 Apr 2016  

Owen W. Ozier

World Bank - Development Economics Group (DEC); World Bank - Development Research Group (DECRG)

Date Written: November 1, 2012

Abstract

Large-scale simulation-based studies rely on at least three properties of pseudorandom number sequences: they behave in many ways like truly random numbers; they can be replicated; and they can be generated in parallel. There has been some divergence, however, between empirical techniques employing random numbers, and the standard battery of tests used to validate them. A random number generator that passes tests for any single stream of random numbers may fail the same tests when it is used to generate multiple streams in parallel. The lack of systematic testing of parallel streams leaves statistical software with important potential vulnerabilities. This paper shows one such vulnerability in Stata's rnormal function that went unnoticed for almost four years, and how to detect it. It then shows practical implications for the use of parallel streams in existing software.

Keywords: Scientific Research & Science Parks, Science Education, Statistical & Mathematical Sciences, Crops and Crop Management Systems, Geographical Information Systems

Suggested Citation

Ozier, Owen W., Perils of Simulation: Parallel Streams and the Case of Stata's Rnormal Command (November 1, 2012). World Bank Policy Research Working Paper No. 6278. Available at SSRN: https://ssrn.com/abstract=2183048

Owen W. Ozier (Contact Author)

World Bank - Development Economics Group (DEC) ( email )

1818 H Street, N.W.
Washington, DC 20433
United States

World Bank - Development Research Group (DECRG)

1818 H. Street, N.W.
MSN3-311
Washington, DC 20433
United States

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