Fast leave-one-out methods for inference, model selection, and diagnostic checking

• Autores: Federico Belotti, Franco Peracchi
• Localización: The Stata journal, ISSN 1536-867X, Vol. 20, Nº. 4, 2020, págs. 785-804
• Idioma: inglés
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• Resumen

  • 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.