Best technique to choose for model comparison

[sameer112217]

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

[Reeza]

AIC. 

There isn't a 'best technique' and the options you've listed are a small subset of the options. 

[Ksharp]

The modern method is using Training data,Validated data, Testing data.
Check PROC GLMSELECT .

[sameer112217]

Ksharp and Reeza,

Thanks for the reply. On validation data which method is useful? Radjusted or mallowco or RMSE?

[Ksharp · Accepted solution]

There are many statistic you can use. AIC,BIC , ASE, .........
Check documentation of proc glmselect . the most popular method is LOESS .