Show R^2 and F-statistic for regression models

Author: OndrejSlamecka

Project.toml

@@ -1,10 +1,11 @@
 name = "StatsModels"
 uuid = "3eaba693-59b7-5ba5-a881-562e759f1c8d"
-version = "0.6.22"
+version = "0.6.23"
 
 [deps]
 DataAPI = "9a962f9c-6df0-11e9-0e5d-c546b8b5ee8a"
 DataStructures = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8"
+Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 Printf = "de0858da-6303-5e67-8744-51eddeeeb8d7"
 ShiftedArrays = "1277b4bf-5013-50f5-be3d-901d8477a67a"
@@ -18,6 +19,7 @@ CategoricalArrays = "0.8"
 DataAPI = "1.1"
 DataFrames = "0.21"
 DataStructures = "0.17.0, 0.18"
+Distributions = "0.21, 0.22, 0.23, 0.24"
 ShiftedArrays = "1.0.0"
 StatsBase = "0.33.5"
 StatsFuns = "0.9"

src/StatsModels.jl

@@ -7,6 +7,7 @@ using ShiftedArrays: lag, lead
 using DataStructures
 using DataAPI
 using DataAPI: levels
+using Distributions
 using Printf: @sprintf
 using StatsFuns: chisqccdf
 

src/statsmodel.jl

@@ -122,7 +122,7 @@ const TableModels = Union{TableStatisticalModel, TableRegressionModel}
                              StatsBase.stderror, StatsBase.vcov]
 @delegate TableRegressionModel.model [StatsBase.modelmatrix,
                                       StatsBase.residuals, StatsBase.response,
-                                      StatsBase.predict, StatsBase.predict!, 
+                                      StatsBase.predict, StatsBase.predict!,
                                       StatsBase.cooksdistance]
 StatsBase.predict(m::TableRegressionModel, new_x::AbstractMatrix; kwargs...) =
     predict(m.model, new_x; kwargs...)
@@ -189,7 +189,12 @@ function Base.show(io::IO, model::TableModels)
         println(io, model.mf.f)
         println(io)
         println(io,"Coefficients:")
-        show(io, ct)
+        println(io, ct)
+        if model isa TableRegressionModel
+            println(io)
+            println("R²: ", round(r2(model.model), sigdigits=4))
+            println(io, fstatistic(model))
+        end
     catch e
         if isa(e, ErrorException) && occursin("coeftable is not defined", e.msg)
             show(io, model.model)
@@ -198,3 +203,28 @@ function Base.show(io::IO, model::TableModels)
         end
     end
 end
+
+struct FStatistic
+    nobs::Int64
+    ndims::Int64
+    f::Float64
+    fprob::Float64
+end
+
+function fstatistic(obj::TableRegressionModel)
+    rss = deviance(obj)
+    tss = nulldeviance(obj)
+
+    n = nobs(obj)
+    p = length(coef(obj)) - 1 # minus intercept
+    fstat = ((tss - rss) / p) / (rss / (n - p - 1))
+    fdist = FDist(n, p)
+
+    FStatistic(n, p, fstat, ccdf.(fdist, abs(fstat)))
+end
+
+function show(io::IO, fstat::FStatistic)
+    print(io, "F-statistic: ", round(fstat.f, sigdigits=4), " ")
+    print(io, "on ", fstat.ndims, " and ", fstat.nobs, " degrees of freedom, ")
+    print(io, "p-value: ", round(fstat.fprob, sigdigits=4))
+end