Hi, When I use logistic regression, each variable has a p value associated with it. Do I only include the variables that have a statistically significant p value (<0.05), or are there situations when I should include variables when their p values are high? I had heard that if a variable has a high p value but it's not the terminal variable, keep it; otherwise, take it out. Not sure if it's right or even why this is the case. What about if my p values are terrible but this combo of variables yields the highest AUC and calibration? What prevails in this case?
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