For some years now the random number generator (RNG) used in gretl has been the Mersenne Twister as implemented in the GLib library.
We've recently been investigating an alternative, namely the SIMD-oriented Fast Mersenne Twister (SFMT); see http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/ We find that this new variant is faster, has better equidistributional properties, and exhibits quicker recovery from poor initialization. We're therefore going to make SFMT the default RNG in gretl: this will be in the next release (gretl 1.9.4) and will land in CVS and the snapshots for Windows and Mac shortly. This change is (necessarily) backward incompatible, in the sense that a gretl script that calls for random values using a specified seed will now produce a different series of random values from before. However, to preserve compatibility for anyone who wants to replicate previous studies exactly, you will be able to call for use of the old gretl RNG. The command to do this will be set RNG MT Having done that, you can switch back to the new default via set RNG SFMT Allin Cottrell
