CROSSVALIDATE: Stata module to perform k-fold crossvalidation

Matthias Schonlau ()
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Matthias Schonlau: University of Waterloo

Statistical Software Components from Boston College Department of Economics

Abstract: crossvalidate computes k-fold cross-validated predictions from any Stata estimation command. The command breaks a dataset into a number of subsets ("folds"), and for each runs an estimator on everything but that subset, and predicts results. crossvalidate stores predicted values in a newly generated variable newvar. Predicted values are generated by issuing the command predict newvar for each fold and, depending on the estimation command, may represent probabilities, class predictions, or continuous values.

Language: Stata
Requires: Stata version 14.1
Keywords: crossvalidation; estimation; prediction (search for similar items in EconPapers)
Date: 2020-10-29, Revised 2021-02-28
Note: This module should be installed from within Stata by typing "ssc install crossvalidate". 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.
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http://fmwww.bc.edu/repec/bocode/c/crossvalidate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crossv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crossvalidate.sthlp help file (text/plain)

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