In a regression setting, you should select a model where all the regression coefficients have p-values greater than 0.05.

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The correct statement is that in a regression setting, you should select a model where all the regression coefficients have p-values less than or equal to 0.05. This is because a p-value of 0.05 or less indicates statistically significant evidence that the corresponding regression coefficient is non-zero and has a significant impact on the dependent variable.

In a Regression Setting, You Should Select a Model Where