When I run the least absolute deviation regression using command 'lad' from the 'L1pack' package, I get the following result but cannot determine the significance levels for each coefficients.
Call: lad(formula = co[, 12] ~ co[, 2] + co[, 3] + co[, 5] + co[, 7] + co[, 8] + co[, 9] + co[, 11] + co[, 2] * co[, 11]) Converged in 14 iterations Coefficients: (Intercept) co[, 2] co[, 3] 12.6123 -0.4472 -0.0528 co[, 5] co[, 7] co[, 8] -0.1073 0.0051 0.0004 co[, 9] co[, 11] co[, 2]:co[, 11] -9.6531 -0.9975 0.2303 Degrees of freedom: 101 total; 92 residual Scale estimate: 2.675847
Is there a way to figure out some general regression statistics like t-test, f-test, R square, etc. from this 'lad' regression? The 'summary' command does not seem to give out these as in the linear regression command 'lm'.
I tried using robust regression 'rlm' in 'MASS' package and see that I get required summary statistics for coefficients and their significances. However, I still do not get values for f-test, R square or so.
How about using this 'rlm' to resolve the outlier problem?
Besides, what methods would be appropriate for getting the f-test and R square values which I suppose cannot simply bring from simple linear regression 'lm' summary result?