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OVERFIT: Stata module to calculate shrinkage statistics to measure overfitting as well as out- and in-sample predictive bias

Marcel Bilger

Statistical Software Components from Boston College Department of Economics

Abstract: overfit calculates three shrinkage statistics to measure the amount of overfitting generated by an estimated model as well as its out- and in-sample predictive bias as defined in Bilger and Manning (2015). Note that in the case of nonlinear models, all these shrinkage statistics are calculated on the (untransformed) scale of interest, which is also referred to as the "raw scale" of the outcome.

Language: Stata
Requires: Stata version 11.2
Keywords: overfitting; shrinkage; predictive bias (search for similar items in EconPapers)
Date: 2015-01-15, Revised 2015-02-07
Note: This module should be installed from within Stata by typing "ssc install overfit". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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