I have made two regression models using gamma regression, and fitted them to 80% of my data, with the intention of doing out-of-sample analysis on the 20%.
Model 2 is just Model 1, with one extra continous variable as regressor. Model 2 shows far better AIC and BIC:
Model 1 Model 2 AIC 67,710 66,567 BIC 67,875 66,738
The curious thing, in my eyes, is that the Mean Predicted Response is better for Model 2:
Model 1 Model 2 Mean Actual Response 233 233 Mean Predicted Response 223 226
How does on interpret this?
EDIT: I messed up my AIC and BIC.