I am modeling a continuous dependent variable with a couple of covariates (known a priori) and a variable of interest.
I ran into an issue of interpretation which I'd like to clear up. When I include a categorical predictor (Sex) my variable of interest is no longer significant. However, when I run two separate models (one for males, one for females) the variable of interest is only significant in females.
In the full model (with sex as an IV) the interaction between variable of interest * sex is non-significant.
How do I proceed? How do I know for sure I have justification to run two separate GLMs based on sex? I tried plotting the the variable of interest by sex vs. my dependent variable and observed no significant difference in the slopes (although visually these were strikingly different and the lines intersected) and significant difference in intercept.