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I want to do a logistic regression using the Mplus software. One of my independent variable is a nominal variable with 4 categories (thus 3 dummy variables). In my case, there is no particular reason to favor one reference group over another. Thus, I would like to be able to make a comparison between all categories.

In the UCLA website http://www.ats.ucla.edu/stat/mplus/dae/logit.htm, it is stated that we can do so by using the model test option in mplus. So, assuming that I have three dummy variables (var1 var2 and var3 omitting the reference group - var0), the syntax looks like this if I want to compare var1 with var2

VD ON

var1(v1)

var2 (v2)

var3 (v3);

Model test:

v1 = v2;

I could then do the same thing for v1 = v3, and v2 = v3.

My questions are:

1- Do I have to use a more conservative p-value if I do all these comparisons, or I can stay with the traditional 0.05? Is it a good way to make comparison between all dummy variables?

2- Could I do the same thing for other types of regression (linear, ordinal and multinomial)?

Thank you in advance!