A randomization method for the assessment of statistical significance for best subsets regression is given. The procedure takes into account the number of potential predictors and the inter-dependence between predictors. The approach corrects a non-trivial problem with Type I errors and can be used to assess individual variable significance.
Shehata, Yasser A. and White, Paul
"A Randomization Method to Control the Type I Error Rates in Best Subset Regression,"
Journal of Modern Applied Statistical Methods:
2, Article 5.
Available at: http://digitalcommons.wayne.edu/jmasm/vol7/iss2/5