Adding interactions to regression

#1
I have a question about adding interactions to a regression. Are there any thumb-rules that i should be looking it? for instance, is it ok to interact that terms when one of them is not statistically significant on its own? I would appreciate if someone can throw some light on this.
thanks
 
#2
is it ok to interact that terms when one of them is not statistically significant on its own?
Yes it is.
(Example: imagine an interaction plot where the line cross each other like an X.)

But if you include an interaction term the rule says that you should also include each of the two variables as linear terms.
 

hlsmith

Less is more. Stay pure. Stay poor.
#3
General rule, don't add an interaction term to model unless you have a theoretical justification. Just testing variables is a bad idea. Second, do you have enough data in your model to support extra terms? Also, keep the base terms for the interaction in the model. Lastly, people like to center term that are in an interaction, given they are continuous variables.
 
#4
General rule, don't add an interaction term to model unless you have a theoretical justification.
Respectfully I must disagree. How many has ever had a theoretical justification for the existence of an interaction term? On the contrary, why should the lines be parallell (i.e. no interaction)? Of course the slopes can be different. I would even say, omit the interaction if there is a theoretical justification.

It is natural that people try different models, and try to find something that fits to the data.

(it is also very good to plot the the data and have a look at it.)
 

hlsmith

Less is more. Stay pure. Stay poor.
#5
I would agree with visualizing data.

What if I tamed down the language from "theoretical" - to something that makes intuitive/justifiable sense. Otherwise what would stop me from looking at every combination of variables as interactions. Then also given this, what would stops me from looking at all higher order interactions. Eventually, I could find something that isn't generalizable and but spurious. Especially if I am not penalizing the process or evaluating the effect in a holdout set.

I get that each field is different, but I would question exploratory interaction findings. I have only discerned a couple interaction across my career and both were related to explainable behavioral phenomenon.