How to interpret highly significant predictors and low squared correlation?
Hello. I did a linear regression analysis on my 42.000 data (online contest results) and after the model building and the model performance calculation, some of my variables turned out to be highly siginificant (4 stars in the tabular view of the model). The p-values were 0,000 for these variables. But then we looked at the squared correlation, and this was low: 0,013. I don't quite understand this contradiction. How can variables be highly significant in predicting the target variable, and the correlation value be very low at the same time? How should I interpret this? Thx in advance!