How to extract p-values from sumurca object? - r

Question

I'd like to extract the p-values from the summary output of ur.za in package urca.
library(urca)
data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
za.gnp <- ur.za(gnp, model="both", lag=2)
summary(za.gnp)
> summary(za.gnp)
################################
# Zivot-Andrews Unit Root Test #
################################
Call:
lm(formula = testmat)
Residuals:
Min 1Q Median 3Q Max
-39.753 -9.413 2.138 9.934 22.977
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 21.49068 10.25301 2.096 0.04096 *
y.l1 0.77341 0.05896 13.118 < 2e-16 ***
trend 1.19804 0.66346 1.806 0.07675 .
y.dl1 0.39699 0.12608 3.149 0.00272 **
y.dl2 0.10503 0.13401 0.784 0.43676
du -25.44710 9.20734 -2.764 0.00788 **
dt 2.11456 0.84179 2.512 0.01515 *
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 13.72 on 52 degrees of freedom
(3 observations deleted due to missingness)
Multiple R-squared: 0.9948, Adjusted R-squared: 0.9942
F-statistic: 1651 on 6 and 52 DF, p-value: < 2.2e-16
Teststatistic: -3.8431
Critical values: 0.01= -5.57 0.05= -5.08 0.1= -4.82
Potential break point at position: 21
All methods I found for lm summary objects don't seem to work here. And I've spent quite some time searching through str(summary(za.gnp)) to no avail. Any hints on where to look?

Answer 1

Objects of class ur.za are S4 objects, which behave differently to S3 objects like those produced by lm. One difference is the concept of the slot accessed via the # operator.
summary(za.gnp) has pval slot but its value is NULL.
summary(za.gnp)#pval
NULL
However, it also has a testreg slot which contains an lm object with the test results that you can use to obtain the p values in the usual way:
coef(summary(summary(za.gnp)#testreg))[,"Pr(>|t|)"]
(Intercept) y.l1 trend y.dl1 y.dl2 du
4.096351e-02 4.007914e-18 7.674887e-02 2.716223e-03 4.367588e-01 7.884201e-03
dt
1.514797e-02