my datasets have 500 variables, how to quickly verify which independent variables are significant to my dependent variable or my model? what I usually do is to import some of them, and see which one has a small p-value.
closed as unclear what you're asking by Stephan Kolassa, kjetil b halvorsen, Michael Chernick, mdewey, Peter Flom♦ Mar 16 '18 at 14:38
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It's hard to answer this without more information about your data and question, but conducting univariate tests and evaluating the p values ignores more complex intercorrelations and multivariate interactions that may be present. Using regularization during cross validation, as a commenter noted, is a more principled way to go about feature selection.