I performed a multiple linear regression on 64 variables with 3 different models:
- Performed Multiple Linear Regression on all 64 variables
- Perform Feature Selection with Random Forest and then perform multiple linear regression on selected features
- Performed Stepwise Linear Regression
I achieved the same adjusted R squared value for all 3 models but different significant variables. How should I make sense of this? Which model should I go with?
Will appreciate any advice! Thank you!