Regression Analysis with Time Series Data

Hey guys, I have some monthly time series data and I'm trying to perform regression analysis on it. I'm just wondering, if I have a few insignificant months does it make sense to remove their parameters from the model? It marginally increases my adjusted R-squared, but I'm just wondering if it'll mess up my prediction if I've gotten rid of a few months.



No cake for spunky
Well first off linear or logistic regression won't work with time series data if there is any autocorrelation as there commonly is. None of the time series methods I know [ARIMA, exponential smoothing, Regression with autoregressive error etc] allow you to remove months.