This paper uses the unconditional mean square error of prediction as a criterion for comparing stopping rules used with the forward “stepwise” selection procedure in multivariate normal samples, based on simulations of 48 population correlation matrices. The CPstatistic, “Fto enter” (.15 < α < .25), a rule which minimizes the sample criterion, and one which sequentially tests the equality of the population criterion (.25 < α < .35) are superior. For these rules, the criterion seldom differs by more than three percent, although there are considerable differences between these and some of the other rules.