I am running a reg model with Weekdays as my dummy variables so I can find the weekday effects to the output metric. The picture below shows the results from this regression, and only Sunday is significant. In this case, I usually like to group the Mon, Sat, Thur, Tue & Wed into one group along with the baseline "Friday" as they are all insignificantly different to the base-line Friday (named as "Rest"), and re-run the model with two dummies "Sun" and "Rest". (one of the two will be automatically chosen as the base line by R). I wonder is there some package or method R can do this auto-regrouping and re-run the model by itself till all grouped dummy groups are significant.