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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 |
| Reference manual: | FCUSUM.html , FCUSUM.pdf |
| Package source: | FCUSUM_1.1.0.tar.gz |
| Windows binaries: | r-devel: FCUSUM_1.1.0.zip, r-release: FCUSUM_1.1.0.zip, r-oldrel: FCUSUM_1.1.0.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 |
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