Akaike Information Criterion (AIC) and Predictive sum of squares error (PSSE) are information theoretic and predictive capability assessment measures to rank the models.
I was trying to rank the models based on these two criterions. However, the rankings are completely contradicting, meaning, 6 models which are ranked best based on AIC is being ranked least based on PSSE.
In this kind of situations how do I decide which measure is the best. I tried to look for some article or research papers but unfortunately I could not find much. Any information would be appreciated.
Thank you!
