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

Author

Listed:
  • Ben Daniels

    ()

Abstract

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.

Suggested Citation

  • Ben Daniels, 2012. "CROSSFOLD: Stata module to perform k-fold cross-validation," Statistical Software Components S457426, Boston College Department of Economics.
  • 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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/c/crossfold.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/c/crossfold.sthlp
    File Function: help file
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    More about this item

    Keywords

    cross-validation; k-fold;

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