[R] Variable selection based on both training and testing data

[Jin Minming]

Dear all,

The variable selection in regression is usually determined by the training data using AIC or F value, such as stepAIC. Is there some R package that can consider both the training and test dataset? For example, I have two separate training data and test data. Firstly, a regression model is obtained by using training data, and then this model is tested by using test data. This process continues in order to find some possible optimal models in terms of RMSE or R2 for both training and test data. 

Thanks,

Jim