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OVERFIT: Stata module to calculate shrinkage statistics to measure overfitting as well as out- and in-sample predictive bias

Author

Listed:
  • Marcel Bilger

    (Duke-NUS Graduate Medical School, Singapore)

Programming Language

Stata

Abstract

overfit calculates three shrinkage statistics to measure the amount of overfitting generated by an estimated model as well as its out- and in-sample predictive bias as defined in Bilger and Manning (2015). Note that in the case of nonlinear models, all these shrinkage statistics are calculated on the (untransformed) scale of interest, which is also referred to as the "raw scale" of the outcome.

Suggested Citation

  • Marcel Bilger, 2015. "OVERFIT: Stata module to calculate shrinkage statistics to measure overfitting as well as out- and in-sample predictive bias," Statistical Software Components S457950, Boston College Department of Economics, revised 07 Feb 2015.
    • Handle: RePEc:boc:bocode:s457950
    Note: This module should be installed from within Stata by typing "ssc install overfit". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/o/overfit.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/o/overfit.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/healthexp.dta
    File Function: sample data file
    Download Restriction: no
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