New answers tagged factor-models
There are a few other techniques to consider in addition to what has already been suggested. Principal components regression (PCR). This would consist of doing a PCA on the independent variables and then regress the dependent variable on the factors. You can always translate the coefficients back into the original basis. Partial Least Squares (PLS). Very ...
I don't think any of the current answers, answer the question, there is one metric that dominates all of them and that is simply the t-stat of the factor. This is well shown across academic literature as well. The rule of the thumb here is to use a t-stat greater than 2.
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