There are many statistic you can use. AIC,BIC , ASE, ......... Check documentation of proc glmselect . the most popular method is LOESS .
AIC.
There isn't a 'best technique' and the options you've listed are a small subset of the options.
The modern method is using Training data,Validated data, Testing data. Check PROC GLMSELECT .
Ksharp and Reeza,
Thanks for the reply. On validation data which method is useful? Radjusted or mallowco or RMSE?
There are many statistic you can use. AIC,BIC , ASE, ......... Check documentation of proc glmselect . the most popular method is LOESS .
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