Crossvalid
Posted: Wed May 13, 2015 1:31 am
This thread is about crossvalid add-in.
The add-in performs a k-fold cross validation procedure on an already estimated model. Basically, it randomly divides the data set into a k number of subsets and reestimate the model to forecast each fold using all the remaining folds as the training set. Although it operates on equation objects that are estimated with any chosen method, the approach is feasible only for cross-section data and therefore is not available for time series data (as there are better ways for such purposes). Please see the documentation for more details.
Since the add-in makes use of some new features of EViews introduced with version 9, it will not work for older versions.
The add-in performs a k-fold cross validation procedure on an already estimated model. Basically, it randomly divides the data set into a k number of subsets and reestimate the model to forecast each fold using all the remaining folds as the training set. Although it operates on equation objects that are estimated with any chosen method, the approach is feasible only for cross-section data and therefore is not available for time series data (as there are better ways for such purposes). Please see the documentation for more details.
Since the add-in makes use of some new features of EViews introduced with version 9, it will not work for older versions.