FCUSUM: Fourier CUSUM Cointegration Test

Implements a Fourier CUSUM test for the null hypothesis of cointegration in the presence of smooth structural change. The cointegrating regression is estimated by dynamic OLS with a Fourier pair at a fractional or integer frequency, and the residual CUSUM statistic of Xiao and Phillips (2002) <doi:10.1016/S0304-4076(01)00103-8> is scaled by a Bartlett long-run variance estimate. A sup-F pre-test decides whether the Fourier terms are needed, and bootstrap critical values that replicate the frequency search give correct size when a break is present.

Version:	1.1.0
Depends:	R (≥ 3.5.0)
Imports:	stats, graphics, utils
Suggests:	testthat (≥ 3.0.0)
Published:	2026-11-01
DOI:	10.32614/CRAN.package.FCUSUM
Author:	Taha Zaghdoudi [aut, cre]
Maintainer:	Taha Zaghdoudi <zedtaha at gmail.com>
License:	GPL-3
NeedsCompilation:	no
Materials:	NEWS
CRAN checks:	FCUSUM results

Documentation:

Reference manual:

FCUSUM.html , FCUSUM.pdf

Downloads:

Package source:	FCUSUM_1.1.0.tar.gz
Windows binaries:	r-devel: FCUSUM_1.0.0.zip, r-release: FCUSUM_1.0.0.zip, r-oldrel: FCUSUM_1.0.0.zip
macOS binaries:	r-release (arm64): FCUSUM_1.1.0.tgz, r-oldrel (arm64): FCUSUM_1.1.0.tgz, r-release (x86_64): FCUSUM_1.1.0.tgz, r-oldrel (x86_64): FCUSUM_1.1.0.tgz
Old sources:	FCUSUM archive

Linking:

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