I have two datasets consist of different features. I did multiple linear regression on these datasets separately and calculated MSE and r-squared scores. After that, I combine these features and the target values and doing multitask regression. I compare these two methods score and there is an improvement.
My question is, how can I test statistical significance of newly added features ?
Summary of datasets
Performed multiple linear regression on first 2 dataset. 1. dataset: features:(158,40) target: (158,1) mse score: 0.143 2. dataset: features:(158,14) target: (158,1) mse score: 0.207 Perform Multitask learning on third experimental dataset. 3. dataset(combined): features:(158,54) target: (158,2) mse score for first dataset: 0.05 mse score for second dataset: 0.09