Fast leave-one-out methods for inference, model selection, and diagnostic checking
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In this article, we describe jackknife2, a new prefix command for jackkning linear estimators. It takes full advantage of the available leave-one-out formula, thereby allowing for a 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.
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2024-02-29
