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.
Belotti, F., Peracchi, F. (2020). Fast leave-one-out methods for inference, model selection, and diagnostic checking. THE STATA JOURNAL, 20(4), 785-804 [10.1177/1536867X20976312].
Fast leave-one-out methods for inference, model selection, and diagnostic checking
Belotti, Federico
Software
;Peracchi, Franco
2020-12-01
Abstract
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.File in questo prodotto:
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