Saturday, August 20, 2011

Statistical significance in an OLS regression?

I am doing an OLS regression with multiple regressors (including dummy variables). When I had just three regressors, the third one was significant at a 99% confidence level. However, when I add a fourth variable, which IS NOT SIGNIFICANT, the third regressor is now only significant at the 95% level. How should I interpret this? Any insight is much appreciated!

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