testing the signifiance of variables in a robust regression with M-estimators

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testing the signifiance of variables in a robust regression with M-estimators

Nicolas Ferrari
Hello,

I have computed robust regressions with M-estimator using rlm(). The score function used is psi(x)=c*x/(x^2+c). Distributions are highly concentrated and have very thick tails.

I have not introduced fixed effects because the important number of observations could make numerical difficulties. Nevertheless, I want to test that there is no fixed effect, i.e. I want to test that if I add fixed-effect, their coefficients are not significant. With the form of distributions of residuals (far from normality), I can't used classic tests like Fischer tests.

Do you know what sort of tests I can conduct and how to implement them in R?

Thank you for your reply?

Nicolas Ferrari
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