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I'm running a multiple linear regression in R.
In my linear regression I have 'country' as a qualitative predictor, which dramatically increases the adjusted R^2 value, and lowers my BIC. I want to include it in my regression model, but only around 2/3 of the counties I've mentioned are statistically different from the dummy variable.
Is it correct to bundle these countries together to have "zero" weight when compared to the dummy variable?
When I run my training model on some test data, how can I stop it using these from adding 'artificial statistically insignificant weights' to the model.
For example, Australia adds 2.6 to the model, but its p value is 0.34. I would like it to add 0 instead of 2.6.
Thank you very much!