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Upgrading from:

RegressionCommon`

RegressionReport and related symbols have been replaced by FittedModel properties.
Weights has been added to the built-in Mathematica kernel.
Ellipsoid is now available in the Multivariate Statistics Package.

Updated Syntax

RegressionReport and its possible values are now available properties of FittedModel objects:

Version 6.0 << LinearRegression`; Regress[{2, 3, 4, 6}, x, x, RegressionReport -> {ParameterTable, RSquared, ANOVATable}]
Wolfram Language code: lm = LinearModelFit[{2, 3, 4, 6}, x, x]
Wolfram Language code: lm[{"ParameterTable", "RSquared", "ANOVATable"}]

For a list of available properties, use "Properties":

Wolfram Language code: lm["Properties"]

The default value of RegressionReport -> SummaryReport is equivalent to the property list {"ParameterTable", "RSquared", "AdjustedRSquared", "EstimatedVariance", "ANOVATable"}.

Weights is now part of the built-in Mathematica kernel:

Version 6.0 << LinearRegression`; Regress[{2, 3, 4, 6}, x, x, Weights -> {0.9, 1, 1.3, 1.1}]
Wolfram Language code: LinearModelFit[{2, 3, 4, 6}, x, x, Weights -> {0.9, 1, 1.3, 1.1}]
Multivariate Statistics Package

Ellipsoid from RegressionCommon` is now found in the Multivariate Statistics Package.

Load MultivariateStatistics` to use Ellipsoid functionality:

Version 6.0 << RegressionCommon`; Ellipsoid[{1, 2, 3}, {4, 5, 6}, {{0, 1, 0}, {1, 0, 0}, {0, 0, 1}}]
Wolfram Language code: <<MultivariateStatistics`; Ellipsoid[{1, 2, 3}, {4, 5, 6}, {{0, 1, 0}, {1, 0, 0}, {0, 0, 1}}]