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I'd say, the first question you'd need to ask yourself is "Why do I want to do statistical tests" and "what kind of statistical tests do I want to do?". Most of them rely on a bunch of assumptions and just winging it will produce a number that will be reported and used but is terribly wrong. Funnily enough, scikit-learn does not directly give you p-values for this very reason and advise you to run the same regression in statsmodels.
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