This question pertains perhaps more to panel regression in general than to the SAS software in particular. Anyway, I thought the question might be relevant also to other SAS users (than just me).
I'm doing exploratory analyses with a panel data set. I'm testing the ability of a large number of constructs to explain an outcome. My question is: if an independent variable is deemed insignificant without controls, will it be insignificant with controls.
In other words: Does statistical significance decrease monotonically with increasing number of control variables?
I would like to use the following procedure:
1. test a large number of interesting constructs: are they able to explain the outcome
2. if so, include control variables to rule out alternative explanations
Is it possible that I will drop constructs at phase 1 that would turn out significant at phase 2?