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][1], [BIC][2] or [Mallow's $C_p$][3].  These are the most common approaches in the literature.


  [1]: http://en.wikipedia.org/wiki/Akaike_information_criterion
  [2]: http://en.wikipedia.org/wiki/Bayesian_information_criterion
  [3]: http://en.wikipedia.org/wiki/Mallows%27_Cp