Leave on out cross validation for panel data

[Anna-Lena]

Hi everyone,
I am looking for some help regarding leave-on-out cross validation for panel data in order to choose the optimal bandwidth for performing a weighted local regression.
Is such a command available in Stata?

Thank you all so much for your help!

[Rich Goldstein]

your question, and more so your goal, are not very clear; at a guess, you should start with -help jackknife-

[Rich Goldstein]

forgot to mention that you should also look at -help bootstrap-

[Anna-Lena]

Im sorry for not beeing particularly clear about this.
So my goal is to find the optimal bandwidth parameter for the stata command xtnptimevar which performs nonparametric time-varying coefficients panel data models with fixed effects via a local linear regression apporach. The weights are kernel weights and hence require an input for the bandwidth.

The idea is to drop one panel from the dataset and then use this dataset for the xtnptimevar command with a certain bandwidth to determine the regression coefficients. The results will be used to estimate the dependent variable for the missing panel. Comparing the estimation of the dependent variable with the actual values provides the errors. This is repeated until every panel was left out once. Average the error and do the same for different bandwidth.
In the end, the smallest average error indicates the optimal bandwidth.

I am sorry is it still sounds quite confusing but maybe it becomes more obvious what I am trying to accomplish.

Thank you so much for your input!