Re: [R] problem in adf command

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Fri 19 Jan 2007 - 16:20:26 GMT

ur.df(y, type = c("none", "drift", "trend"), lags = 1)

	 in urca.
	this gives me all out put .but i need only p.value fromm the
output.         
	when i run the following command 
	ur.df(y, type = c("none", "drift", "trend"), lags =
	 1)$p.value 
	this in response null.kindly help me in this regard. thanks
	With  Best Regards


Hello Zahid,          

        you do not need to send your message three times to the list. As the package's documentation outlines: 'urca' utilises formal classes (i.e. S4). Hence, to obtain slots, you should use '@' and not '$'. Anyway, who is telling you, that p.value is a slot of a returned ur.df object? At least not ?ur.df. Now, if you take a look at ?UnitrootTests in package 'fSeries' you will read that these test implementation do contain p.values, hence:          

	library(urca)
	library(fSeries)
	## to generate some data use the example
	example(UnitrootTests)
	test.adf <- adfTest(y, type = 'c')
	slotNames(test.adf)
	names(test.adf@test)
	test.adf@test$p.value
	
	 

Best,
Bernhard          



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