I have dataframe which contains numerical and categorical features. I am trying to get p-values of these variables using OLS.
I'm creating dummies to get p-values of categorical features. But in this way im getting p-value for all values in categorical features. My purpose is that get p-value of feature not all values of feature.
How should i interpret of OLS result which contains p-values of dummies? Should i use chi2 test for get the p-value of categorical features? If yes can i use p-values of numerical features from OLS and p-values of categorical features from chi2 test for all data?