After using mvregress, how can I find the rsquared value, t-values, p-values, F-statistic, and standard errors?

After using mvregress, how can I find the rsquared value, t-values, p-values, F-statistic, standard errors and residual sum of squares? I have run a fixed effect regression using panel data. I have gotten my values for the intercept and slope parametres, however, now I want more information about the model and I'm not sure how to go about it. Any help on this one?

Answer 1

[Juan Zamora]

Y = ChangePriceSqft;
X = [OneOverSqft, Baths, Distance]; 

% print scatter plot matrix againt sales
[H,AX,BigAx,P,PAx] = plotmatrix([Y,X],[Y,X]);

% regression model 
X = [ones(n,1), X];
%[b, bint, r, rint, stats] = regress(Y, X);
[beta,Sigma,E,CovB,logL] = mvregress(X,Y);

Hypothesis = beta(1) + beta(2) * OneOverSqft +  beta(3) * Baths + ...
    beta(4) *  Distance;

% r-squared
r2 = sum((Hypothesis - mean(Y)).^2) / sum((Y - mean(Y)).^2);

% number of explanatory variables
k = 3;

% Data from the Regression Model
% beta(1); % intercept
% beta(2); % 1/sqft
% beta(3); % baths
% beta(4); % distance

% model Standard Error
Se2 = sum((Y - beta(1) - beta(2) * OneOverSqft -  beta(3) * Baths + ...
    beta(4) *  Distance).^2) / (n-k-1);
Se = sqrt(Se2);

% Partial Slopes - Standard Errors Bx
PartialStdErr = diag(sqrt(CovB)); % mvregress

%t-statistics (Beta / PartialStdErr)
tRatio = beta ./ PartialStdErr;

%p-values
pVals = 2*(1-tcdf(abs(tRatio),n-2));

% Summary Table of the Regression Model
RegressionSummary = [beta, PartialStdErr, tRatio, pVals];

[Juan Zamora]

You can find the entire code with the csv file at https://github.com/zamoradev/ML/tree/master/MRM_HomePrices

There are more samples at: https://github.com/zamoradev/ML