EconPapers    
Economics at your fingertips  
 

CV_REGRESS: Stata module to estimate the leave-one-out error for linear regression models

Fernando Rios-Avila ()

Statistical Software Components from Boston College Department of Economics

Abstract: cv_regress uses the shortcut that relies on the leverage statistics to estimate the leave-one-out error, which is typically used in the estimation of Cross-Validation Statistics. For the correct implementation, the OLS model needs to be estimated using -regress- before this program is executed. cv_regress reports three goodness-of-fit measures: the root mean squared error (RMSE), the mean absolute error (MAE), and the pseudo-R2 (the square of the correlation coefficient of the predicted and observed values of the dependent variable). It also gives you the option to save the predicted Leave-one-out error from the model.

Language: Stata
Requires: Stata version 7
Keywords: cross-validation; leverage; regression (search for similar items in EconPapers)
Date: 2018-03-25, Revised 2020-06-11
Note: This module may be installed from within Stata by typing "ssc install cv_regress". 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.
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cv_regress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cv_regress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cv_kfold.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cv_kfold.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458469

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().

 
Page updated 2023-02-07
Handle: RePEc:boc:bocode:s458469