Suppose you fit a linear regression model on some data with 10 variables. The F-statistic shows that 3 of them are significant (p < 0.05) , 2 are within trend (0.05 < p < 0.10), and the other 5 are p > 0.10. Is it OK to throw out the other 5 (p > 0.10) and retrain another model? Perhaps this time the 2 within trend will become significant.
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