I am using
from sklearn.linear_model import LinearRegression
from sklearn.model_selection import cross_val_score
cross_val_score(LinearRegression(), X, y_reg, cv = 5)
Why would you want that?
cross_val_score(cv=5) does that for you as it splits your train data 10 times and verifies accuracy scores on 5 test subsets. This method already serves as a way to prevent your model from over-fitting.
Anyway, if you are eager to verify accuracy on your validation data, then you have to fit your LinearRegression first on X and y_reg.