We are in the process of analyzing some data to see if a combination of pre-existing factors and factors associated with the current condition of a patient help to predict severity of current medical condition/disease (example: If previous exposure to tobacco smoke [pre-existing factor]; and current signs on physical exam and histological pattern [factors associated with current condition] help to predict severity of lung tumor).
We had two continuous variables, and a bunch of categorical variables as predictors; and a categorical variable as the outcome. All independent variables are significant predictors in univariate analyses. When we include two continuous as well as other categorical variables together in a logistic regression model, only two continuous variables turn out to be significant predictors. If we remove either of those two and run the model again, then at least three categorical variables show significance. When we transform two continuous variables in categorical ones, then also we get other variables as significant besides these two. None of the predictors shows collinearity.
My supervisor asked me- Is it possible that any of the continuous variables mask the effects of other predictors? If it is the case, how can we address the issue? If we remove any of the continuous variables, how can we justify that? If we transform continuous variables into categorical ones, what will be the explanation for that? I am not able to find satisfactory answers to these questions. It will be great if you can help answer these questions.