No replicability within threadFor loops

threadfor loop iterations can run in any order. When you use the global random number state with rndseed, the random numbers created will always come out in the same order. However, in a threadfor loop, since the threads may be run in a different order each time the program is executed, the threads may well get different chunks of the random numbers each time the program is executed.

You have a few options for how to make repeatable random numbers within a threadfor loop.

Create the random numbers before the threadfor loop
If the memory taken up by the entire set of needed random numbers is not too large and it suits the algorithm of your program, you may be best off creating all the random numbers you need ahead of time and then indexing into this matrix or vector as needed.

Use the skip-ahead feature
Some of the GAUSS random number generators, such as the MRG32k3a allow skip-ahead. This means that you can create an initial state vector (like a bookmark in the random number stream) and then from that state vector, you can create another state vector that is ahead of the first by N elements. Here is a brief example:

//Create a random number state with a
//random number generator that supports
//skip ahead
state = rndCreateState("mrg32k3a", 23423);

iters = 4;
nobs = 5;

//Pre-allocate 'r' to hold all random numbers
//created in 'threadfor' loop
r = zeros(iters * nobs, 1);

threadfor i(1, iters, 1);
    
    //Create 'state_tmp' to be the original state vector
    //incremented by 'nobs' numbers for each iteration
    //after the 1st
    state_tmp = rndStateSkip((i-1) * nobs, state);

    //increment starting index for next iteration
    idx = (i - 1) * nobs + 1;

    //Create block of random numbers and assign
    //to corresponding section of 'r' vector
    { r[idx:idx+nobs-1], s } = rndu(nobs,1, state_tmp);
    

threadendfor;

state = rndCreateState("mrg32k3a", 23423);
{ r_1, s } = rndu(iters * nobs, 1, state);