R/breusch.godfrey.test.R

In gnardin/stationarity: Time Series Stationarity Test

#' @title Breusch-Godfrey (BG) Stationarity Test
#'
#' @description
#' Breusch-Godfrey stationarity test.
#' 
#' @param data Time series data
#' @param alpha Value of alpha for the statistics test
#' 
#' @return 0: Non-Stationary, 1: Stationary, NA: Unable to test
#' 
#' @importFrom timeSeries filter
#' @importFrom lmtest bgtest
#' 
breusch.godfrey.test <- function(data, alpha){
  
  lag <- filter(data, c(0,1), method="conv", sides=1)
  
  p <- NULL
  tryCatch(p <- bgtest(data ~ 1 + lag, order=1, type="F", fill=NA),
      error=function(e){return(NA)})
  
  if(!is.null(p)){
    if(!is.null(p$p.value) && !is.na(p$p.value)){
      if(p$p.value <= alpha){
        return(NONSTATIONARY)
      } else {
        return(STATIONARY)
      }
    }
  }
  return(NA)
}