When performing logistic regression involving categorical variables with multiple levels, I encountered this case when all the levels are insignificant but the
testparm function (which evaluates the overall significance) states that the variable is significant.
How is it possible when all the levels of the variable are insignificant that the
testparmfunction returns a significant result?
If I am selecting variables to remove based on the p value, should I remove this particular variable from the model, ignoring the