Pyfixest Cupy64 Absorbed Regressors

pyfixest cupy64 backend: absorbed regressors survive, reports change shape

Problem

Adding demeaner_backend="cupy64" to an existing pf.feols() call is treated as a pure performance switch, but it changes the output: regressors with zero within-FE identifying variation (fully absorbed by the fixed effects) that the default numba backend silently drops are RETAINED by the cupy64 path (also in its scipy/CPU fallback when cupy is not installed). They appear in the coefficient table as non-identified garbage (huge coefficient, huge SE).

Context / Trigger Conditions

Observed 2026-07-18 (Specialist Directors US, H5 re-baseline audit): adding the kwarg to 4 feols sites left the headline triple stable to 4 decimals (B1 diff 1.45e-6, SE diff 9.9e-6) but the text report grew from 366 to 390 lines — 24 new rows for absorbed controls (e.g. event_x_lrisk = 435.8059, SE 7106.3365) under firm-year + director FE, where firm-year-level variables have no identifying variation.

Solution

1. Treat a backend change as a POTENTIALLY OUTPUT-CHANGING edit: diff the

report and expect schema changes, not byte equality. Verify the coefficients of interest at ~4-decimal precision instead.

1. Never interpret retained absorbed-regressor rows as estimates; check

within-FE variation before reading nuisance coefficients.

1. Never parse pyfixest text reports by line position; anchor on the

variable name of the coefficient you need.

1. When byte-stable reports matter (regression-tested pipelines), pin the

backend consistently everywhere rather than mixing backends across runs.

Verification

Re-run one model with and without the kwarg; compare: headline coef equal to ~1e-6, coefficient-row sets DIFFERENT (absorbed regressors present only under cupy64). That asymmetry confirms this behavior rather than a data change.

Notes

• Applies even with no GPU: the fail-open CPU fallback shows the same

retention behavior, so "cupy isn't installed" does not make the kwarg inert.

• The headline inference (identified coefficients, clustered SEs) agrees to

reporting precision; this is a report-shape/nuisance-row issue, not a correctness issue for identified estimates.

Source & license

This open-source skill is cataloged on AgentStack and links to its original source — we do not rehost the code.

• Author: kennethkhoocy
• Source: kennethkhoocy/applied-micro-skills
• License: MIT

Install and usage instructions live in the source repository linked above.