Mallow cp vs RMSE?
Which one is more approprioate method for model selection in linear regression for validation data
I heard RMSE is more appropriate for training and test data
Sameer
If you have to use an automated method, there are many better than these two. For reasons why these two are NOT good, try reading http://www.lexjansen.com/pnwsug/2008/DavidCassell-StoppingStepwise.pdf.
If I had to depend on an automated method (that is, nobody has any good systematic knowledge about the problem), I would consider LASSO methods.
Steve Denham
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