I am building multiple linear regressions and I am testing salient variables one by one at the univariate level to determine whether I should include them.

However, what is the current acceptable limits of p values to include/exclude univariate level variables. I have gotten some very conflicting advice, which is why I turned to this site. At first I was using p < 0.05 but then I was told to use .20 and later read p values ranging between .25-.50. So I am very confused. If I continue to use variables at the 0.05 level is there any literature that can justify this?

Thanks,

Pranaphish