Let's say that your independent variable is $x_i$ and its regression coefficient is $\beta_i$. The p-value for $\beta_i$ is $P(t<| t^* |)+P(t>|t^*|)$ where $t^*=\frac{\beta_i}{\sqrt{(X'X)^{-1}_{ii}\frac{RSS}{n-q}}}$. $RSS$ is the residual sum of squares.
The p-value is large when $|t^*|$ is small, small when $|t^*|$ is large. But when $n$ grows, $RSS/(n-q)$ get smaller and $|t^*|$ larger, so the p-value decreases just because $n$ grows.
This is why "in large samples is more appropriate to choose a size of 1% or less rather than the 'traditional' 5%." (M. Verbeek, A Guide to Modern Econometrics, 3rd edition, §2.5.7, p. 32). If you choose 1%, your coefficient is not statitically significant when $p=0.02$.
What you are describing is a variant of stepwise model building, which, whether based on the p-values of individual predictors, or on measures of overall model performance like $R^{2}$ or AIC results in a host of problems rendering inference from such models suspect:
- deflated p values
- inflated overall model performance values
- inflated coefficients
- inflated F statistics for the whole model
- highly probable exclusion of true predictors
- highly probable inclusion of false predictors
Most of these problems arise because you are neither accounting for nor reporting the string of invisible "conditional on all these previous rejection decisions" at each step of the model building process.
So how to build a model if not by a stepwise approach? By theoretically justifying your model variables a priori and embrace reporting negative effects for a given model (i.e. don't just report coefficients with p-values below your significance threshold).
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Best Answer
Both options are the same answer.
Sampling error depends on sample size. If I understand allright, you are increasing the amount of evidence when moving from day 8 to day 15. It is expected that the "true relationships" among independent variables and between them and the dependent one in the population will start to reveal as sample size increases. Think in a signal-to-noise ratio increasing. Think in the number of times you need to throw a coin until you are confident that is a fair one.
Anyway, I would measure the progress in those relationships by observing the stability of the coefficients instead of the changes in p-values. P-values are informing you about null hipotheses, that I guess in this case are testing that each of the coefficients equals zero in the population. The confidence intervals will be reduced as sample size increases (under the proper assumptions being valid) so any constant coefficient will start to "be different from zero" (reject the null hipothesis) with enough data.
[Note 1. You have to also be aware of colineality among the "independent" variables. This may also make your (partial regression) coefficients to change]
[Note 2. I would also try to follow the advice by Peter Flom above]