I am not able to find the criterion under which the best subset model for a
certain size is chosen for the function regsubsets (leaps package in R) . For
leaps function, we can determine the method ( cp,r2 or adj r2). For example,
x <- predictors
y <- response
g <- regsubsets(x,y,nvmax=1,nbest=1)
summary(g)$which specifies set of predictors that form the best model within
all models of size 1. But under which criterion is considered best ?. Does it
have the highest R2 or adjR2 or any other criterion ?.
Thank you for your help.
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