R help - Jan 2006 - testing the signifiance of variables in a robust regression with M-estimators

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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