Fast leave-one-out methods for inference, model selection, and diagnostic checking

Federico Belotti and Franco Peracchi

Stata Journal, 2020, vol. 20, issue 4, 785-804

Abstract: In this article, we describe jackknife2, a new prefix command for jackknifing linear estimators. It takes full advantage of the available leave-one-out formula, thereby allowing for substantial reduction in computing time. Of special note is that jackknife2 allows the user to compute cross-validation and diagnos- tic measures that are currently not available after ivregress 2sls, xtreg, and xtivregress.

Keywords: jackknife2; jackknife; heteroskedasticity-consistent standard errors; cross-validation; diagnostic checking; predictive residuals (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:y:18:y:2018:i:4:p:785-804

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DOI: 10.1177/1536867X20976312

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