I'm hoping that somebody can help me understand the intuition in relation to p-values and model accuracy.
I have developed a linear regression model with multiple variables (continuous and categorical).
All my variables are highly significant with p-values equal to p-value = 2e-16 or similar.
My R-sqd, RMSE, MAE and MAPE are all quite low. R-sqd = 0.3 and MAPE = 0.7. RMSE is also quite high hence the model accuracy is quite low.
This feels counter-intuitive as a set of highly significant predictors should provide a relatively accurate model.
Can someone please help me understand if my intuition above is correct and the relationship between p-values and model accuracy?