P-values for mvregress

I am running mvregress on a few regressors and I was able to get a beta value (or regression coefficient) for each of the regressors. However, I can't seem to produce the p-value that is associated with each beta. Is there a way to get standard errors and p-values for all the beta values when running multivariate regression? Am I not using the right function?

Thanks

Answer 1

[Roger Wohlwend]

[beta,Sigma,E,CovB] = mvregress(X,Y)

The fourth output (CovB) is the covariance matrix of the coefficient. You can use that matrix to compute the standard errors.

Errors = sqrt(diag(CovB))