I'm using Lars() function from sklearn.linear_model with thousands of variables (X) and I want to know the p-value of each variable.
Example:
import pandas as pd
from sklearn.linear_model import Lars
url = 'https://raw.githubusercontent.com/jbrownlee/Datasets/master/housing.csv'
dataframe = pd.read_csv(url, header=None)
data = dataframe.values
X, y = data[:, :-1], data[:, -1]
model=Lars()
result=model.fit(X,y)
I have tried with others regression solutions unsuccessful, for example with the summary() but Lars object has not the attribute summary().
Any idea?
