I have a problem with the interpretation of my results from a multiple linear regression. I want to evaluate the impact of a policy change (X) on an economic indicator (Y) and have included various covariates in the regression (6). The policy change occurred in 2015 and I have data from 2012 to 2018 available. I first run the regression with the full data set and it turned out highly significant. Afterwards, I played around a bit with the data range and got some weird results. If the data range is 2014 to 2016, it was also highly significant. However, if I used the data from 2013 to 2017, the results were insignificant (with p-values up to 0.6). Therefore, I decided to plot the significance (Y-axis) and the corresponding days from the policy implementation (X-axis).

As you can see in the plot, the results turn significant for at around 350 days away from the policy implementation date (data: 2014-2016) and after around 1100 days away from the policy implementation date (data 2012-2018). In between they are insignificant.

How am I supposed to interpret these results? How should I know which period correctly estimates the effect? Could there be a problem with my covariates? Interestingly, the estimation coefficient also becomes negative for the time period where the results are not significant.

Thanks a lot for your help, I am really lost with these results!