FCUSUM: Fourier CUSUM Cointegration Test

Overview

The FCUSUM package implements the Fourier CUSUM cointegration test for detecting cointegration relationships in time series data with structural breaks. The test combines:

• Fourier approximations to capture smooth structural changes
• CUSUM statistics to test for cointegration stability

Installation

# Install from GitHub (replace with actual repo)
# # devtools::install_github("zedtaha/FCUSUM")
install.packages("FCUSUM", repos = c('https://zedtaha.r-universe.dev', 'https://cloud.r-project.org'))

# Or install from source
# install.packages("FCUSUM_1.0.0.tar.gz", repos = NULL, type = "source")

Usage

library(FCUSUM)

# Generate sample data
set.seed(123)
n <- 100
x <- cumsum(rnorm(n))
y <- 2 + 1.5 * x + rnorm(n)

# Run the Fourier CUSUM test
result <- fcum(y, x, kstar = 3)

# View results
print(result)
summary(result)

Key Features

• Automatic frequency selection using AICc criterion
• Critical values for different model specifications
• S3 methods for clean output formatting
• Comprehensive documentation and examples

References

Zaghdoudi, T. (2025). Testing the Long-Run Relationship Between Oil Price and Inflation in Tunisia: A Fourier CUSUM Cointegration Test. Energy RESEARCH LETTERS, 6(Early View).

License

GPL-3

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