so I'm doing a linear regression with three sorts of religion variables. Two of those religion variables are based on the same question in the questionnaire. People are asked what's their religion and if they go to church much or abide by the religious norms.
So I made a variable of religious identification with the categories 'christian', 'muslim' and 'not religious'. Then I made a variable of religious practice with the categories 'strict', 'not-strict, but religious' and 'not-religious'.
I made them into dummy variables for the regression analysis. So I have 'dummy_christian' and 'dummy_muslim' with the 'not-religious' category as the reference. Then I have 'dummy_strict' and 'dummy_not-strict' with the 'not-religious' as the reference.
When I put the dummy variables of the religious identification variable in the regression analysis, they show significant scores with my dependent variable. The same with religious practice. The problem is that when I put all my religion dummy variables in the regression analysis, I don't have any significant results. And I think it's because there's a big overlap (and a big correlation) between the two not-religious categories.
Is this possible? And can I fix it?