CROSSVALIDATE2: Stata module to implement Cross-Validation in Stata

William R. Buchanan () and Steven D. Brownell ()
Additional contact information
William R. Buchanan: SAG Corporation
Steven D. Brownell: SAG Corporation

Statistical Software Components from Boston College Department of Economics

Abstract: crossvalidate2 is a package containing several commands to enable users to implement multiple cross-validation procedures with estimation commands in Stata. There are two prefix commands, -xv- an -xvloo- that are used to implement the entire cross-validation pipeline with the estimation command supplied by the user. For users that require more fine-grained control over the cross-validation process, the commands -splitit2-, -fitit-, -predictit-, and -validateit- implement each phase of cross-validation discretely. There are also several utility commands included as well. Lastly, the include Mata library contains over 40 different evaluation functions covering binary and multi-class classification models and continuous outcome models. If you only intend to use the -xv- and -xvloo- prefix commands, they should work without any further steps. If, however, you wish to use the lower-level commands, you will need to call the libxv command first to compile the Mata library on your machine.

Language: Stata
Requires: Stata version 15
Keywords: cross-validation; k-fold; leave one out; machine learning; out of sample; evaluation (search for similar items in EconPapers)
Date: 2024-08-01, Revised 2024-12-16
Note: This module should be installed from within Stata by typing "ssc install crossvalidate2". 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:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/crossvalidate2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classify.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classify.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cmdmod.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cmdmod.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/crossvalidate.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fitit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fitit.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/libxv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/libxv.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/l/libxv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/predictit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/predictit.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/splitit2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/splitit2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/state.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/state.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/validateit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/validateit.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvloo.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvloo.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvbinmtrx.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvbintab.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvcontmtrx.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvconttab.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvmcmtrx.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvmctab.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvphase-fit.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvphase-predict.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvphase-split.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvphase-validate.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvphases.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xvlabels.stjson program code (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:s459358

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 ().