Unit root test in R

has_unit_root.R

library(urca)

has_unit_root <- function(serie) {
  trend_model <- urca::ur.df(serie, type = "trend", selectlags = "BIC")
  summary_model <- summary(trend_model)
  test_value <- summary_model@teststat[1]
  tau_3 <- summary_model@cval[1, 2]

  if (test_value < tau_3) {
    return(FALSE)
  } else {
    test_value <- summary_model@teststat[3]
    phi_3 <- summary_model@cval[3, 2]

    if (test_value > phi_3) {
      return(FALSE)
    } else {
      drift_model <- urca::ur.df(serie, type = "drift", selectlags = "BIC")
      summary_model <- summary(drift_model)
      test_value <- summary_model@teststat[1]
      tau_2 <- summary_model@cval[1, 2]

      if (test_value < tau_2) {
        return(FALSE)
      } else {
        test_value <- summary_model@teststat[2]
        phi_1 <- summary_model@cval[2, 2]

        if (test_value > phi_1) {
          return(FALSE)
        } else {
          basic_model <- urca::ur.df(serie, type = "none", selectlags = "BIC")
          summary_model <- summary(basic_model)
          test_value <- summary_model@teststat[1]
          tau_1 <- summary_model@cval[1, 2]

          if (test_value < tau_1) {
            return(FALSE)
          } else {
            return(TRUE)
          }
        }
      }
    }
  }
}