Mallows' Cp statistic estimates the size of the bias that is introduced into
the predicted responses by having an underspecified model. Use Mallows' Cp
to choose between multiple regression models. Look for models where
Mallows' Cp is small and close to the number of predictors in the model plus
the constant (p).

References

Hocking, R. R. (1976). “The Analysis and Selection of Variables in a Linear Regression.” Biometrics
32:1–50.

Mallows, C. L. (1973). “Some Comments on Cp.” Technometrics 15:661–675.

See Also

Other model selection criteria: ols_aic,
ols_apc, ols_fpe,
ols_hsp, ols_msep,
ols_sbc, ols_sbic