Re: [R] summary.rlm (was p-values)

From: Prof Brian Ripley <ripley_at_stats.ox.ac.uk>
Date: Wed 05 Jul 2006 - 20:11:22 EST

On Wed, 5 Jul 2006, Celso Barros wrote:

> Dear All,
>
> When I run rlm to obtain robust standard errors, my output does not include
> p-values. Is there any reason p-values should not be used in this case? Is
> there an argument I could use in rlm so that the output does
> include p-values?

First you would have to derive a reliable theory for the tests you want p-values for. The t ratios are approximately normally distributed, but to quote realistic p-values you would need much more accurate distribtution theory.

For summary.lm we can use Student's t distribution and say the results are exact only under normality. There is no analogue for summary.rlm. Note that S does not quote p-values for summmary.glm for similar reasons: R does but I do not consider it to be a good idea.

>
> Thanks in advance,
>
> Celso
>
> [[alternative HTML version deleted]]
>
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-- 
Brian D. Ripley,                  ripley@stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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Received on Wed Jul 05 20:15:31 2006

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