I have a 3-way interaction model as follows:
Y = A + B + C + A*B + A*C + B*C + A*B*C
A is a dummy and B and C are centred continuous variables.
I am mainly interested in the parameters for BC and B. The interpretation of these parameters depends on the inclusion of AB*C and all 2-way interactions. I am using SAS and PROC GLMSELECT with selection=none, thus (IMHO) forcing the interactions to be included. I am sure there are equivalents in R and Python.
For some data the p-values for the aforementioned interactions are above 0.05. Does that mean they are not ‘included’ and thus the interpretation of the aforementioned parameters changes?
Any feedback would be very much appreciated.