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CV_KFOLD: Stata module to implement k-fold cross-validation procedures

Author

Listed:
  • Fernando Rios-Avila

    (Levy Economics Institute of Bard College)

Programming Language

Stata

Abstract

cv_kfold is a post estimation command that implements a k-fold cross-validation procedure after regress, logit, probit, mlogit, poisson, and nbreg. The program allows selecting the number of folds "k" and repetitions to be run based on a previously estimated model, and reports either the mean squared errors (after regress), or average log likelihood.

Suggested Citation

  • Fernando Rios-Avila, 2020. "CV_KFOLD: Stata module to implement k-fold cross-validation procedures," Statistical Software Components S458798, Boston College Department of Economics, revised 04 Nov 2022.
    • Handle: RePEc:boc:bocode:s458798
    Note: This module may be installed from within Stata by typing "ssc install cv_kfold". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/cv_kfold.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cv_kfold.sthlp
    File Function: help filetor
    Download Restriction: no
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