Solved – Robust regression in R using lmrob from robustbase

rregressionrobust

I am currently working on data that requires usage of robust regression.
Since I am new to this topic of robust regression I am not sure how to best calculate the F-stat for my regression model as summary(lmrob) normally does not return an F-statistic.
Here are my questions:

Is the concept of F-stats even applicable to robust regression?
If not, which other tests can I use and how do I perform them in terms of coding?
If yes, how can I code the F-test for lmrob objects?

Thank you very much for your help in advance!

Best Answer

The robustbase package has an anova.lmrob function for performing a robust analysis of deviance for two competing, nested linear regression models m1 and m2 fitted by lmrob - for example, m1 includes only an intercept and m2 which includes the intercept plus all the predictors you are interested in say, X1 and X2):

m1 <- lmrob(Y ~ 1, data = yourdata)

m2 <- lmrob(Y ~ 1 + X1 + X2, data = yourdata)

anova(m2, m1, test = "Deviance")

In the anova command, the models are forced to be listed from largest (m2) to smallest (m1) due to computational reasons.

The anova output will return a P-value comparing the reduction in robust deviance achieved by including the predictors in the intercept-only model. If this reduction is significant, then the inclusion of the predictors is warranted.