https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315111#M16602 Hello! Which statistical technique is used for model selection from the regression model (multiple linear regression). Adjusted R Square or Mallow's CP or Average Squared Error? which one is the most reliable one while choosing the model? Sameer Shaikh Tue, 29 Nov 2016 07:48:30 GMT sameer112217 2016-11-29T07:48:30Z https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315111#M16602 Hello! Which statistical technique is used for model selection from the regression model (multiple linear regression). Adjusted R Square or Mallow's CP or Average Squared Error? which one is the most reliable one while choosing the model? Sameer Shaikh Tue, 29 Nov 2016 07:48:30 GMT https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315111#M16602 sameer112217 2016-11-29T07:48:30Z https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315113#M16603 <P>AIC.&nbsp;</P> <P>&nbsp;</P> <P>There isn't a 'best technique' and the options you've listed are a small subset of the options.&nbsp;</P> Tue, 29 Nov 2016 07:52:59 GMT https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315113#M16603 Reeza 2016-11-29T07:52:59Z https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315118#M16604 <PRE> The modern method is using Training data,Validated data, Testing data. Check PROC GLMSELECT . </PRE> Tue, 29 Nov 2016 08:46:02 GMT https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315118#M16604 Ksharp 2016-11-29T08:46:02Z https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315119#M16605 <P>Ksharp and Reeza,</P><P>&nbsp;</P><P>Thanks for the reply. On validation&nbsp;data which method is useful? Radjusted or mallowco or RMSE?</P><P>&nbsp;</P><P>&nbsp;</P> Tue, 29 Nov 2016 08:55:22 GMT https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315119#M16605 sameer112217 2016-11-29T08:55:22Z https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315179#M16607 <PRE> There are many statistic you can use. AIC,BIC , ASE, ......... Check documentation of proc glmselect . the most popular method is LOESS . </PRE> Tue, 29 Nov 2016 13:40:29 GMT https://communities.sas.com/t5/Statistical-Procedures/Best-technique-to-choose-for-model-comparison/m-p/315179#M16607 Ksharp 2016-11-29T13:40:29Z