I have a dataset in which all columns are numerical.Some of the columns have categories in numerical form having levels >= 2. Do i need to convert that categorical numerical column into factor for regression analysis or not ? Please suggest any better approach in R.
Yes you do. You can prove it to yourself...
x <- rep(1:5, 20)
y <- rnorm(100)
# not converting to factors
m1 <- lm (y ~ x)
# converting to factors
m2 <- lm(y ~ as.factor(x) )
summary(m1) # one fitted coefficent
summary(m2) # five fitted coefficients