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FCUSUM  

Fourier CUSUM Cointegration Test
View on CRAN: Click here


Download and install FCUSUM package within the R console
Install from CRAN:
install.packages("FCUSUM")

Install from Github:
library("remotes")
install_github("cran/FCUSUM")

Install by package version:
library("remotes")
install_version("FCUSUM", "1.0.0")



Attach the package and use:
library("FCUSUM")
Maintained by
Taha Zaghdoudi
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-11-12
Latest Update: 2025-11-12
Description:
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.
How to cite:
Taha Zaghdoudi (2025). FCUSUM: Fourier CUSUM Cointegration Test. R package version 1.0.0, https://cran.r-project.org/web/packages/FCUSUM. Accessed 25 Oct. 2026.
Previous versions and publish date:
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View FCUSUM citation profile
Other R packages that FCUSUM depends, imports, suggests or enhances
Complete documentation for FCUSUM
Functions, R codes and Examples using the FCUSUM R package
Full FCUSUM package functions and examples
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