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) . The corrected Akaike Information Criterion (AICc) is used for optimal frequency selection.


Reference manual

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install.packages("FCUSUM")

1.0.0 by Taha Zaghdoudi, a year ago


Browse source code at https://github.com/cran/FCUSUM


Authors: Taha Zaghdoudi [aut, cre]


Documentation:   PDF Manual  


GPL-3 license


Imports stats


See at CRAN