How to extract various statistics like teststat and pvalue etc. from ur test output object

Question

I need to run stationarity test for multiple time series. I use the ur.df function from the urca package to do them. I then store the outputs from each of these adf test as a list of lists - as each of these is a list itself.

I need to be able to store all the parameters like from the output in to a data frame. Is there a way to do it?

I know I can extract some of the parameters like the @teststat, @cval and the like but how do we get out all of the parameters as we can with the lm regression output using broom

For example, if this is the output from ur.df function

test1 <- ur.df(usage_1601_1612, type = "none", lags = 1, selectlags = "AIC")

The contents of test1 are shown below

Test regression none 

Call:
lm(formula = z.diff ~ z.lag.1 - 1 + z.diff.lag)

Residuals:
    Min      1Q  Median      3Q     Max 
-6093.2 -1385.8  -100.9  1414.3  6962.8 

Coefficients:
            Estimate Std. Error t value Pr(>|t|)  
z.lag.1    -0.004212   0.005191  -0.811   0.4177  
z.diff.lag -0.126685   0.052161  -2.429   0.0156 *
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 2351 on 362 degrees of freedom
Multiple R-squared:  0.01838,   Adjusted R-squared:  0.01296 
F-statistic:  3.39 on 2 and 362 DF,  p-value: 0.03479


Value of test-statistic is: -0.8114 

Critical values for test statistics: 
      1pct  5pct 10pct
tau1 -2.58 -1.95 -1.62

This is the general code that I run

urresultorigobjects <- 
   lapply(usagextsobjects, function(x) {
     summary(ur.df(x, type = "none", lags = 1, selectlags = "AIC"))
   })

This generates the list urresultorigobjects containing the outputs from the stationarity test on each of the xts objects in the list usagextsobjects.

I would like to be able to capture all of the output and store the relevant information in a data frame for code based reference for downstream processing.

Any suggestions would be greatly appreciated.

Answer 1

I don't know if there is an easier way but I managed it like this:

(ur.df(valdata, type="none", lags=0))@testreg[["coefficients"]][,"Pr(>|t|)"]