What's the right process to find and use interactions between variables?



Suppose you want to do a linear regression: y = x1 + ... + x6, and you think there are interactions among the predictors. You can do an exhaustive trial-and-error test for interactions, but that would be multi-testing and thus not a good idea, right?

What would be the right procedure to find and use such interactions?

Basically I want to add the interactions as input variables to the linear regression analysis.

Thank you!