Which of the Following Statements About Building Multiple Regression Models

Multiple Choice

Which of the following statements about building multiple regression models is true?

A) Automatic model building procedures such as "best subsets" and "stepwise" always select the best multiple regression model.
B) When comparing among competing multiple regression models, it is best to use R² rather than the adjusted R² for comparison.
C) It is always preferable to include more rather than fewer predictor variables in a multiple regression model in order to ensure the highest possible value of R.²
D) When comparing among competing multiple regression models, the best models will have the highest values for s_e.
E) None of the above.