I am running linear regression in an area where there is no theory that I am aware of to determine if various variables interact. I am predicting income at closure for customers of a social program. I am using various measures of spending and control variables such as age gender etc to analyze this.
One possibility would to specify interaction among all control variables and then drop out the ones that are not significant. But I realize there are questions about dropping out variables based just on p values (for what its worth I have the entire population so I am not sure p values matter - a disputed point I know). Any suggestions on how to deal with this?