FCUSUM

cranv1.0.0

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 methodol

License GPL-3strong copyleft0 versions1 maintainers1 deps71 weekly dl
https://CRAN.R-project.org/package=FCUSUM
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First published · 2025-11-12 21:52:50

Last updated · 2025-11-12T20:10:11+00:00