Mallow cp vs RMSE

[sameer112217]

Mallow cp vs RMSE?

Which one is more approprioate method for model selection in linear regression for validation data

Mallow cp vs RMSE?

I heard RMSE is more appropriate for training and test data

Sameer

[SteveDenham]

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