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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling source/ R- | FCUSUM_1.0.0.tar.gz |
4.7 KiB |
1.0.0 |
latest source/ R- | FCUSUM_1.0.0.tar.gz |
4.7 KiB |
1.0.0 |
2026-04-23 source/ R- | FCUSUM_1.0.0.tar.gz |
4.7 KiB |
1.0.0 |
2026-04-09 windows/windows R-4.5 | FCUSUM_1.0.0.zip |
23.2 KiB |