I'm looking at the NMMAPS dataset, where pollution levels were measured in several cities over multiple days. I want to create a model to see which characteristics are linked to high pollution levels. Instead of creating a traditional model with all the data points, I thought of splitting the data into cities. Then I wanted to use the same model on each of these data sets and then finally combine the CI of each of the coefficients in order to find a new CI (by taking their intersections).
Would this be a valid approach?