# Significance of adding new features

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