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The method to combine the groups in R in order to conduct multiple linear models is through the use of the "groupby" function from the dplyr package. The "groupby" function is used to split the dataset into groups based on a specified variable, and then the "summarize" function is used to apply a function or model to each group. By using this method, multiple linear models can be run for each group separately, and the results can be compared or combined as necessary.