How to check for "statistical significance" of categorical feature in black box models
First, you have to encode the feature. Models only take numerical features.

Then assessing the solution:


You can either see the feature importance of the model
Or use an XAI tool that will help you to understand the predictions. I normally use SHAP (SHapley Additive exPlanations):is a game theoretic approach to explain the output of any machine learning model. It connects optimal credit allocation with local explanations using the classic Shapley values from game theory and their related extensions.




https://github.com/slundberg/shap