Scikit-Learn: Std.Error, p-Value from LinearRegression
<p>I've been trying to get the standard error &amp; p-Values by using LR from scikit-learn. But no success. </p>

<p>I've end up finding up this <a href="https://regressors.readthedocs.io/en/latest/usage.html" rel="noreferrer">article</a>:  but the std error &amp; p-value does not match that from the statsmodel.api OLS method </p>

<pre><code>import numpy as np 
from sklearn import datasets
from sklearn import linear_model
import regressor
import statsmodels.api as sm 


boston = datasets.load_boston()
which_betas = np.ones(13, dtype=bool)
which_betas[3] = False
X = boston.data[:,which_betas]
y = boston.target

#scikit + regressor stats
ols = linear_model.LinearRegression()
ols.fit(X,y)

xlables = boston.feature_names[which_betas]
regressor.summary(ols, X, y, xlables)


# statsmodel
x2 = sm.add_constant(X)
models = sm.OLS(y,x2)
result = models.fit()
print result.summary()
</code></pre>

<p>Output as follows: </p>

<pre><code>Residuals:
Min      1Q  Median      3Q      Max
-26.3743 -1.9207  0.6648  2.8112  13.3794


Coefficients:
             Estimate  Std. Error  t value   p value
_intercept  36.925033    4.915647   7.5117  0.000000
CRIM        -0.112227    0.031583  -3.5534  0.000416
ZN           0.047025    0.010705   4.3927  0.000014
INDUS        0.040644    0.055844   0.7278  0.467065
NOX        -17.396989    3.591927  -4.8434  0.000002
RM           3.845179    0.272990  14.0854  0.000000
AGE          0.002847    0.009629   0.2957  0.767610
DIS         -1.485557    0.180530  -8.2289  0.000000
RAD          0.327895    0.061569   5.3257  0.000000
TAX         -0.013751    0.001055 -13.0395  0.000000
PTRATIO     -0.991733    0.088994 -11.1438  0.000000
B            0.009827    0.001126   8.7256  0.000000
LSTAT       -0.534914    0.042128 -12.6973  0.000000
---
R-squared:  0.73547,    Adjusted R-squared:  0.72904
F-statistic: 114.23 on 12 features
                            OLS Regression Results                            
==============================================================================
Dep. Variable:                      y   R-squared:                       0.735
Model:                            OLS   Adj. R-squared:                  0.729
Method:                 Least Squares   F-statistic:                     114.2
Date:                Sun, 21 Aug 2016   Prob (F-statistic):          7.59e-134
Time:                        21:56:26   Log-Likelihood:                -1503.8
No. Observations:                 506   AIC:                             3034.
Df Residuals:                     493   BIC:                             3089.
Df Model:                          12                                         
Covariance Type:            nonrobust                                         
==============================================================================
                 coef    std err          t      P&gt;|t|      [95.0% Conf. Int.]
------------------------------------------------------------------------------
const         36.9250      5.148      7.173      0.000        26.811    47.039
x1            -0.1122      0.033     -3.405      0.001        -0.177    -0.047
x2             0.0470      0.014      3.396      0.001         0.020     0.074
x3             0.0406      0.062      0.659      0.510        -0.081     0.162
x4           -17.3970      3.852     -4.516      0.000       -24.966    -9.828
x5             3.8452      0.421      9.123      0.000         3.017     4.673
x6             0.0028      0.013      0.214      0.831        -0.023     0.029
x7            -1.4856      0.201     -7.383      0.000        -1.881    -1.090
x8             0.3279      0.067      4.928      0.000         0.197     0.459
x9            -0.0138      0.004     -3.651      0.000        -0.021    -0.006
x10           -0.9917      0.131     -7.547      0.000        -1.250    -0.734
x11            0.0098      0.003      3.635      0.000         0.005     0.015
x12           -0.5349      0.051    -10.479      0.000        -0.635    -0.435
==============================================================================
Omnibus:                      190.837   Durbin-Watson:                   1.015
Prob(Omnibus):                  0.000   Jarque-Bera (JB):              897.143
Skew:                           1.619   Prob(JB):                    1.54e-195
Kurtosis:                       8.663   Cond. No.                     1.51e+04
==============================================================================

Warnings:
[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.
[2] The condition number is large, 1.51e+04. This might indicate that there are
strong multicollinearity or other numerical problems.
</code></pre>

<p>I've also found the following articles </p>

<ul>
<li><p><a href="https://stackoverflow.com/questions/27928275/find-p-value-significance-in-scikit-learn-linearregression">Find p-value (significance) in scikit-learn LinearRegression</a></p></li>
<li><p><a href="http://connor-johnson.com/2014/02/18/linear-regression-with-python/" rel="noreferrer">http://connor-johnson.com/2014/02/18/linear-regression-with-python/</a></p></li>
</ul>

<p>Both the codes in the SO link doesn't compile </p>

<p>Here is my code &amp; data that I'm working on - but not being able to find the std error &amp; p-values</p>

<pre><code>import pandas as pd
import statsmodels.api as sm
import numpy as np
import scipy
from sklearn.linear_model import LinearRegression
from sklearn import metrics 


def readFile(filename, sheetname):
    xlsx = pd.ExcelFile(filename)
    data = xlsx.parse(sheetname, skiprows=1)
    return data


def lr_statsmodel(X,y):
    X = sm.add_constant(X)
    model = sm.OLS(y,X)
    results = model.fit()
    print (results.summary())


def lr_scikit(X,y,featureCols):
    model = LinearRegression()
    results = model.fit(X,y)

    predictions =  results.predict(X)

    print 'Coefficients'
    print 'Intercept\t' , results.intercept_
    df = pd.DataFrame(zip(featureCols, results.coef_))
    print df.to_string(index=False, header=False)

    # Query:: The numbers matches with Excel OLS but skeptical about relating score as rsquared
    rSquare = results.score(X,y)
    print '\nR-Square::', rSquare

    # This looks like a better option
    # source: http://scikit-learn.org/stable/modules/generated/sklearn.metrics.r2_score.html#sklearn.metrics.r2_score
    r2 = metrics.r2_score(y,results.predict(X))
    print 'r2', r2

    # Query: No clue at all! http://scikit-learn.org/stable/modules/model_evaluation.html#regression-metrics 
    print 'Rsquared?!' , metrics.explained_variance_score(y, results.predict(X))
    # INFO:: All three of them are providing the same figures!     


    # Adj-Rsquare formula @ https://www.easycalculation.com/statistics/learn-adjustedr2.php
    # In ML, we don't use all of the data for training, and hence its highly unusual to find AdjRsquared. Thus the need for manual calculation
    N = X.shape[0]
    p = X.shape[1]
    adjRsquare = 1 - ((1 -  rSquare ) * (N - 1) / (N - p - 1))
    print "Adjusted R-Square::", adjRsquare

    # calculate standard errors
    # mean_absolute_error
    # mean_squared_error
    # median_absolute_error 
    # r2_score
    # explained_variance_score
    mse = metrics.mean_squared_error(y,results.predict(X))
    print mse
    print 'Residual Standard Error:', np.sqrt(mse)

    # OLS in Matrix : https://github.com/nsh87/regressors/blob/master/regressors/stats.py
    n = X.shape[0]
    X1 = np.hstack((np.ones((n, 1)), np.matrix(X)))    
    se_matrix = scipy.linalg.sqrtm(
        metrics.mean_squared_error(y, results.predict(X)) *
        np.linalg.inv(X1.T * X1)
    )
    print 'se',np.diagonal(se_matrix)

#    https://github.com/nsh87/regressors/blob/master/regressors/stats.py
#    http://regressors.readthedocs.io/en/latest/usage.html

    y_hat = results.predict(X)
    sse = np.sum((y_hat - y) ** 2)
    print 'Standard Square Error of the Model:', sse




if __name__ == '__main__':

    # read file 
    fileData = readFile('Linear_regression.xlsx','Input Data')

    # list of independent variables 
    feature_cols = ['Price per week','Population of city','Monthly income of riders','Average parking rates per month']

    # build dependent &amp; independent data set 
    X = fileData[feature_cols]
    y = fileData['Number of weekly riders']

    # Statsmodel - OLS 
#    lr_statsmodel(X,y)

    # ScikitLearn - OLS 
    lr_scikit(X,y,feature_cols)
</code></pre>

<p>My data-set </p>

<pre><code>Y   X1  X2  X3  X4
City    Number of weekly riders Price per week  Population of city  Monthly income of riders    Average parking rates per month
1   1,92,000    $15     18,00,000   $5,800  $50
2   1,90,400    $15     17,90,000   $6,200  $50
3   1,91,200    $15     17,80,000   $6,400  $60
4   1,77,600    $25     17,78,000   $6,500  $60
5   1,76,800    $25     17,50,000   $6,550  $60
6   1,78,400    $25     17,40,000   $6,580  $70
7   1,80,800    $25     17,25,000   $8,200  $75
8   1,75,200    $30     17,25,000   $8,600  $75
9   1,74,400    $30     17,20,000   $8,800  $75
10  1,73,920    $30     17,05,000   $9,200  $80
11  1,72,800    $30     17,10,000   $9,630  $80
12  1,63,200    $40     17,00,000   $10,570 $80
13  1,61,600    $40     16,95,000   $11,330 $85
14  1,61,600    $40     16,95,000   $11,600 $100
15  1,60,800    $40     16,90,000   $11,800 $105
16  1,59,200    $40     16,30,000   $11,830 $105
17  1,48,800    $65     16,40,000   $12,650 $105
18  1,15,696    $102    16,35,000   $13,000 $110
19  1,47,200    $75     16,30,000   $13,224 $125
20  1,50,400    $75     16,20,000   $13,766 $130
21  1,52,000    $75     16,15,000   $14,010 $150
22  1,36,000    $80     16,05,000   $14,468 $155
23  1,26,240    $86     15,90,000   $15,000 $165
24  1,23,888    $98     15,95,000   $15,200 $175
25  1,26,080    $87     15,90,000   $15,600 $175
26  1,51,680    $77     16,00,000   $16,000 $190
27  1,52,800    $63     16,10,000   $16,200 $200
</code></pre>

<p>I've exhausted all my options and whatever I could make sense of. So any guidance on how to compute std error &amp; p-values that is the same as per the statsmodel.api is appreciated.</p>

<p>EDIT: I'm trying to find the std error &amp; p-values for intercept and all the independent variables </p>