How to cross validate your panel data in Python
Salinas de Janubio, Lanzarote, Canary Islands, Spain. Credit: imag3s 4 uAn introduction to panel data cross validation using PanelSplitMotivation: 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 be really frustrating to implement…