I've tried to find the answer to this on this website but haven't been able to, so apologies if this has already been resolved. I am carrying out a hierarchical multiple regression. In the first step, the model is significant, and the predictors $X_1$, $X_2$ and $X_3$ have significant coefficients. When I add $X_4$ in the second step, the model is significant and the $R^2$ change is significant. The coefficient for $X_4$ is also significant. However, the previously significant coefficient of $X_1$ becomes insignificant. Why would this be happening?
There do not appear to be any problems with multicollinearity. I don't know if the following is relevant, but $X_1$ and $X_4$ are moderately positively correlated and are equally correlated with the dependent variable. $X_2$ and $X_3$ are dummy variables of a categorical variable with 3 levels. All other variables are continuous. Thanks!