Dear all,
Thanks to Prof Baum, a new command is available from SSC.
cv_kfold is a post estimation command that implements a k-fold cross-validation procedure. You can choose the number of "folds" and repetitions you want to do to implement the procedure.
For the case of "regress" you can also use cv_regress, which is faster, and implements the leave-one-out CV procedure.
Best regards,
Fernando