FCUSUM: Fourier CUSUM Cointegration Test
Implements the Fourier cumulative sum (CUSUM) cointegration test
for detecting cointegration relationships in time series data with
structural breaks. The test uses Fourier approximations to capture smooth
structural changes and CUSUM statistics to test for cointegration stability.
Based on methodology described in Zaghdoudi (2025)
<doi:10.46557/001c.144076>. The corrected Akaike Information Criterion
(AICc) is used for optimal frequency selection.
| Version: |
1.0.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats |
| Published: |
2025-11-12 |
| DOI: |
10.32614/CRAN.package.FCUSUM (may not be active yet) |
| Author: |
Taha Zaghdoudi [aut, cre] |
| Maintainer: |
Taha Zaghdoudi <zedtaha at gmail.com> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| CRAN checks: |
FCUSUM results |
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