How to use Loocv?

[Morgan Campbell]

I am studying econometrics for a PhD and am more familiar with STATA, so I am currently using that for homework as I do not have enough time to learn another language, however, I am having difficulties using leave-one-out cross validation (the LOOCV command) and was wondering if there is a do file available online or if there are any nice likes that explain how to go about doing this in STATA? Any hints or tips will be helpful, I have found nothing anywhere on the internet that will help, and my teacher is not familiar with the program as we are responsible to learn and be confident in a program of our choice. I need to use loocv to find a "better" R-squared (better than adjusted R squared as well), which would be with loocv. Any help would be appreciated. Thank you.

[Ush Bissoon]

I've just used it for the first time today. You may find this help file useful: http://fmwww.bc.edu/repec/bocode/l/loocv.sthlp

Ado file can be found here: http://fmwww.bc.edu/repec/bocode/l/loocv.ado