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Fast leave-one-out methods for inference, model selection, and diagnostic checking
The Stata Journal: Promoting communications on statistics and Stata ( IF 3.2 ) Pub Date : 2020-12-22 , DOI: 10.1177/1536867x20976312 Federico Belotti 1 , Franco Peracchi 1
中文翻译:
快速的留一法进行推理,模型选择和诊断检查
更新日期:2020-12-22
The Stata Journal: Promoting communications on statistics and Stata ( IF 3.2 ) Pub Date : 2020-12-22 , DOI: 10.1177/1536867x20976312 Federico Belotti 1 , Franco Peracchi 1
Affiliation
In this article, we describe jackknife2, a new prefix command for jackknifing linear estimators. It takes full advantage of the available leave-one-out formula, thereby allowing for substantial reduction in computing time. Of special note is that jackknife2 allows the user to compute cross-validation and diagnostic measures that are currently not available after ivregress 2sls, xtreg, and xtivregress.
中文翻译:
快速的留一法进行推理,模型选择和诊断检查
在本文中,我们描述了jackknife2,这是用于增加线性估计量的新前缀命令。它充分利用了可用的留一法公式,从而大大减少了计算时间。特别值得注意的是,jackknife2允许用户计算在ivregress 2sls,xtreg和xtivregress之后当前不可用的交叉验证和诊断措施。