The leaps package does best subset and returns some of what you asked for, but it does not do press. The DAAG package (and possibly others) has a function to compute PRESS, you may be able to use the models from leaps with the function from DAAG to get what you want there.
However, be careful how you use these tools and the results. Taking a "best" model from here and using it as if it was the original model that you fit will result in confidence intervals that are too narrow and p-values that are too small. -- Gregory (Greg) L. Snow Ph.D. Statistical Data Center Intermountain Healthcare [EMAIL PROTECTED] 801.408.8111 > -----Original Message----- > From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] > project.org] On Behalf Of 1072 > Sent: Saturday, October 18, 2008 12:07 PM > To: r-help@r-project.org > Subject: [R] variable selection for multiple regression model > > > > Does anyone know how can I run all subsets regression model and get > adjusted > R square, Cp, and PRESSp for each model? > > -- > View this message in context: http://www.nabble.com/variable-selection- > for-multiple-regression-model-tp20049313p20049313.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting- > guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
