How to cross validate your panel data in Python

Salinas de Janubio, Lanzarote, Canary Islands, Spain. Credit: imag3s 4 u

An introduction to panel data cross validation using PanelSplit

Motivation: As someone who works with panel data, I often need to perform cross validation. This involves training up to a certain point in time, testing on a subset of observations, training up to a further point in time, testing on a different subset of observations, and iteratively continuing this process on a panel data set. Sound familiar? This can …

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