stata,prediction , How to calculate PRESS and $R^2_{predicted}$ in Stata automatically


How to calculate PRESS and $R^2_{predicted}$ in Stata automatically

Question:

Tag: stata,prediction

So I have two models and I want to calculate these statistics. Is there any package to calculate them in Stata?

PRESS statistic (wiki)

And, if I am not mistaken. $$ R^2_{predicted} = 1 - \frac{RESET}{ESS} $$.


Answer:
clear all

program define press, rclass
    syntax varlist(fv) [if] [in]        ///
    [fweight aweight pweight iweight] , ///
    [nodots]

    gettoken y x : varlist
    marksample touse
    preserve
    quietly keep if `touse'
    if "`weight'" != "" {
        local wgt "[`weight'`exp']"
    }

    tempvar pred temp prs
    quietly gen double `pred' = .
    if "`dots'" == "" _dots 0, title(Jackknife replications) reps(`=_N')
    forvalues i = 1/`=_N' {
        capture {
            reg `y' `x' `wgt' if _n != `i'
            predict double `temp'
            replace `pred' = `temp' in `i'
            drop `temp'
        }
        if "`dots'" == "" _dots `i' `=_rc > 0'
    }
    quietly gen double `prs' = (`y' - `pred')^2
    sum `prs', meanonly

    if "`dots'" == "" di _n _n
    di as txt "The predicted residual sum of squares is " as result r(sum)
    return scalar press = r(sum)
    restore
end

sysuse auto
press price mpg i.foreign

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