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CROSSFOLD: Stata module to perform k-fold cross-validation

  • Ben Daniels


crossfold performs k-fold cross-validation on a specified model in order to evaluate a model's ability to fit out-of-sample data. This procedure splits the data randomly into k partitions, then for each partition it fits the specified model using the other k-1 groups and uses the resulting parameters to predict the dependent variable in the unused group.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457426.

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Programming language: Stata
Requires: Stata version 11
Date of creation: 23 Feb 2012
Date of revision:
Handle: RePEc:boc:bocode:s457426
Note: This module should be installed from within Stata by typing "ssc install crossfold". Windows users should not attempt to download these files with a web browser.
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