Have you thought of the Akaike Information Criterion? It is the R squared penalized by the number of regressors. You can access to it using reg$AIC if reg is your regression object.
Samuel
-----Original Message-----
From: r-sig-robust-bounces at r-project.org [mailto:r-sig-robust-bounces at r-project.org] On Behalf Of Pep Serra
Sent: 01 December 2010 14:48
To: r-sig-robust at r-project.org
Subject: [RsR] best robust fit
dear all,
I want to choose between different polynomial robust regressions, however R2 may be misleading since the highest de degree is, the "better fit" to data. Is there any function implemented in robust or robustbase that computes an index for "model selection" ???
Thanx for helping!
pep
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