[R] Extracting slots from an object (e.g.: object produced by unit root test function "urdfTest")

[jpm miao]

Sorry. Let me modify the question: Does there exist any unit root test
function (with trend or intercept) where the p-value can be extracted? The
function adf.test in tseries package does return the p-value, but there's
no choice of trend or intercept. Thanks.

2015-03-13 10:49 GMT+08:00 jpm miao <miaojpm at gmail.com>:

> Thank you very much.
>
> Could we extract the p-value in the output of the ur.df function? Does
> there exist any unit root test function where the p-value can be extracted?
> Thanks!
>
> An example for ur.df function:
>
> data(Raotbl3)
> attach(Raotbl3)
> lc.df <- ur.df(y=lc, lags=3, type='trend')
> summary(lc.df)
>
> 2015-03-13 1:23 GMT+08:00 David Winsemius <dwinsemius at comcast.net>:
>
>>
>> On Mar 12, 2015, at 1:04 AM, jpm miao wrote:
>>
>> > Hi,
>> >
>> >   I run a statistical test function in the package "fUnitRoots" that
>> > returns a S4 object but I am wondering how to extract the p-value, one
>> of
>> > the output elements.
>>
>> > The document of the function "urdfTest":
>> > .....
>> > All tests return an object of class "fHTEST" with the following slots:
>> >
>> > @call
>> > .....
>> > @test
>> > a list object which holds the output of the underlying test function.
>> > @title
>> > .....
>> > The entries of the @test slot include the following components:
>> >
>> > $statistic
>> > ......
>> > $p.value
>> > the p-value of the test.
>> > .....
>> > (end)
>> >
>> >   I store the result of the test test in an element of a list
>> > (adf1["r3m"][[1]]), and I want to extract the p-value. I was expecting
>> the
>> > p-value via adf1["r3m"][[1]]@test$p.value but it gives only an error
>> > message. Could someone tell me how to extract the p-value? Thanks!!!
>>
>> If you look at the code by typing: fUnitRoots::urdfTest,  you should
>> quickly see why you are seeing text output:
>>
>> That function is doing the equivalent of a console screenscrape:
>>
>> ...
>> output = capture.output(summary(urca))[-(1:4)]
>> ...
>> # and then assigns a trimmed version of that result to the `test`- slot.
>>
>>
>> So the documentation is misleading in suggesting that a list object is
>> being returned in the `test` slot. It's just a character vestor.
>>
>>
>> --
>> >
>> >> adf1["r3m"][[1]]<-urdfTest(dat[,i], lags = 1, type = "ct")
>> >> adf1["r3m"][[1]]
>> > [1] "  "
>> > [2] "  Test regression trend "
>> > [3] "  "
>> > [4] "  Call:"
>> > [5] "  lm(formula = z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)"
>> > [6] "  "
>> > [7] "  Residuals:"
>> > [8] "      Min      1Q  Median      3Q     Max "
>> > [9] "  -3.0785 -0.0485  0.0072  0.0627  3.5672 "
>> > [10] "  "
>> > [11] "  Coefficients:"
>> > [12] "                Estimate Std. Error t value Pr(>|t|)    "
>> > [13] "  (Intercept) -1.733e-02  9.529e-03  -1.818  0.06910 .  "
>> > [14] "  z.lag.1     -7.060e-03  2.343e-03  -3.013  0.00261 ** "
>> > [15] "  tt           5.299e-06  4.927e-06   1.076  0.28221    "
>> > [16] "  z.diff.lag  -1.035e-01  1.859e-02  -5.569 2.81e-08 ***"
>> > [17] "  ---"
>> > [18] "  Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1"
>> > [19] "  "
>> > [20] "  Residual standard error: 0.2107 on 2864 degrees of freedom"
>> > [21] "  Multiple R-squared:  0.01461,\tAdjusted R-squared:  0.01358 "
>> > [22] "  F-statistic: 14.15 on 3 and 2864 DF,  p-value: 3.716e-09"
>> > [23] "  "
>> > [24] "  "
>> > [25] "  Value of test-statistic is: -3.0134 3.0697 4.5828 "
>> > [26] "  "
>> > [27] "  Critical values for test statistics: "
>> > [28] "        1pct  5pct 10pct"
>> > [29] "  tau3 -3.96 -3.41 -3.12"
>> > [30] "  phi2  6.09  4.68  4.03"
>> > [31] "  phi3  8.27  6.25  5.34"
>> >
>>
>> That is being displayed as a multi-element text object. You instead need
>> to show the code that actually created that object.
>>
>> >> adf1["r3m"][[1]]@test
>> > Error: trying to get slot "test" from an object of a basic class
>> > ("character") with no slots
>> >> adf1["r3m"][[1]]@test$p-value
>> > Error: trying to get slot "test" from an object of a basic class
>> > ("character") with no slots
>> >
>> >       [[alternative HTML version deleted]]
>>
>> Please learn to post in palin text.
>>
>> --
>>
>> David Winsemius
>> Alameda, CA, USA
>>
>>
>

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