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CROSSVALIDATE: Stata module to perform k-fold crossvalidation

Author

Listed:
  • Matthias Schonlau

    (University of Waterloo)

Programming Language

Stata

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.

Suggested Citation

  • Matthias Schonlau, 2020. "CROSSVALIDATE: Stata module to perform k-fold crossvalidation," Statistical Software Components S458860, Boston College Department of Economics, revised 28 Feb 2021.
  • Handle: RePEc:boc:bocode:s458860
    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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/c/crossvalidate.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/c/crossv.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/c/crossvalidate.sthlp
    File Function: help file
    Download Restriction: no
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