Problems of establishing the optimum regression forecasting model are ex-amined. In general,the optimum forecasting model is not obtainable by stepwise regression. By calculation of all possible regressions with Mallows' C_p statistic,average prediction mean square error(S_p) and prediction sum of squares (PRESS),the optimum forecasting model can be obtained. In this study,the methods and steps for choosing the optimum forecasting model are proposed. Some examples are also given.