I selected "t-test" as the feature selection method in a multiple regression model, and set alpha to 0.01. Why is the regression output including an independent variable with a p-value of 0.05? Only when I reduce the alpha to 0.001 does this variable go away. If I set alpha = 0.01, shouldn't the selected model only show me independent variables whose p-value is less than 0.01?
thank you in advance for answers.
AD
