how to validate linear model?
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I already have an estimation from linear regression model using 2 years of data. Now I want to use this estiamted data to validate in one years of data. Could anyone tell me how to do that?
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jgg
2015 年 12 月 16 日
I'm not clear what you're asking here.
If just want to check how good your predictions are on an out-of-sample dataset, just take the coefficients b you got from your original model, then form the predicted outcome P = X*b where X is the out-of-sample data you wish to check. Then, compare P and Y where Y is the actual out of sample outcome. The residual Y-P should give you a sense of how well your model performs out of sample.
In general, though, if you have more data you should include it in the original regression.
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