Selecting the best regression equation via the P-value of F-test

In this article, we establish a method of selecting the best regression equation on the basis of F-test. The basic idea is to select the most significant regression equation, which corresponds to the minimum P-value of F-test. We also present upper and lower bounds for the P-value together with approximations for these bounds which are simple to compute. Using this method, not only can we find out the best regression equation, we also obtain its significance probability. When the method is applied to the well-known data from Hald (1952) and Gorman & Toman (1966), the results are satisfactory.