How to set cut-off P-value for interaction term in linear regression model?

[Minhtrang]

Hi all,

I need help on choosing the cut-off p-value for interaction term in linear regression model.

It seems to be a rule of thumb for setting p-value<0.25 or <0.2 for including potential interaction terms in logistic regression model, as mentioned by this website

http://sydney.edu.au/vetscience/biostat/macros/logistic_tut_begin.shtml

I ran linear regression models (outcome is continuous variable, sample size=4300) and I'm not sure that I can use the same cut-off p-value to distinguish an interaction term in my model. 

I would love to hear from your experience.

Thank you.

Trang

[PaigeMiller]

One person's "rule" is another person's "ridiculous", or vice versa. "Rules" that work fine in one subject matter may be total hogwash in a very different subject matter.

There is no mathematical or objective way to determine the proper p-value. You pick one that you feel comfortable with. You can be conservative, and pick small p-values, or liberal and pick large p-values, it's up to you.

Just remember that whatever rule you pick, there are consequences — you may reject hypotheses that should be accepted, or vice versa.

[Reeza]

That method of analysis is also known as 'p-value' hacking to some degree these days and you should be very careful with this, especially if you're trying to publish your results.

https://en.wikipedia.org/wiki/Data_dredging