I am running a multinomial logistic regression and have my final model, but now want to check for interactions between my two exposure variables and my independent variables. When I run this, one of my exposure variables is no longer significant, but some of the interactions between the levels of that variable are significant. I was wondering what the rule was for keeping or removing interaction terms in my model. Do I remove the insignificant variables and consequently any interactions involving that variable? All of my variables are categorical and relevant so there is not a question about whether or not insignificant interactions should be included. THANKS!
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1I think your question has been answered already here: http://stats.stackexchange.com/questions/91074/the-main-effect-will-be-non-significant-if-the-interaction-is-significant – Marquis de Carabas Apr 30 '15 at 00:37