I have three groups of neighbourhoods and trying to study the effect of some independent variables (IVs) on a continuous dependent variable (DV) in each group. I'm using multiple regression and by looking at the P values, I've found that some IVs are significant in one group but are not in the others. I've read that P value is not enough, so my question is that what is the appropriate statistical test to show/prove these variations in significance or to show/prove the difference of the same IV's effect on the DV in different groups?