No. There are many variable selection techniques including stepwise, forward and backward selection or if you have only a small number comparing all subsets may be feasible. But the model selection criterion should be something like AIC, BIC or Mallow's Cp. These are the most common approach in the literature.

No. There are many variable selection techniques including stepwise, forward and backward selection or if you have only a small number comparing all subsets may be feasible. But the model selection criterion should be something like AIC, BIC or Mallow's $C_p$. These are the most common approaches in the literature.