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Validation: replicating the papers and agreement with pyfgls

The results below were precomputed (the Monte Carlo simulations take tens of minutes) by tools/replicate_tables.R and tools/compare_python_r.R in the source repository, and are stored in the package:

rep <- readRDS(system.file("extdata", "replication.rds", package = "fgls"))
xl <- readRDS(system.file("extdata", "cross_language.rds", package = "fgls"))
rep$replications
#>  pg26_table1 pg26_general  gp24_table1           s9 
#>         2000         1000         1000         1000

The papers use 10,000 replications; with 1,000 the Monte Carlo standard error of a coverage rate near 0.95 is about 0.007. The same designs are run, with tolerances, by the package’s acceptance tests (FGLS_SLOW_TESTS=true).

Perron and González-Coya (2026), Table 1

AR(1) errors (0.8), a regressor that responds to past innovations, \(T = 500\); slope estimates (true value 1):

knitr::kable(rep$pg26_table1, digits = 3)
estimator rmse bias paper_rmse paper_bias
OLS 0.399 0.395 0.399 0.395
Durbin 0.038 0.002 0.036 NA
GLS (infeasible) 0.024 0.000 0.025 NA
FGLS 0.027 0.001 0.025 0.001
Cochrane-Orcutt 0.041 0.031 0.041 0.031
rho (FGLS) 0.034 -0.008 0.034 -0.008
rho (CO) 0.174 -0.170 NA -0.171 
rep$pg26_table1_median_k
#> [1] 1

OLS is inconsistent, Cochrane-Orcutt is biased (its estimate of \(\rho\) is biased downwards), and FGLS matches the infeasible GLS.

Perron and González-Coya (2026), Tables 2–5 (selected cells)

\(T = 200\), \(x_t = 0.8 x_{t-1} + v_t + \gamma e_{t-1}\); MSE \(\times 100\) and coverage of 95% intervals with the robust (eq. 29) and naive (eq. 27) variances:

knitr::kable(rep$pg26_general, digits = 3)
errors gamma mse_ols mse_fgls mse_gls coverage_robust coverage_naive median_k
AR(1) 0.5 0.00 0.569 0.418 0.409 0.943 0.943 1
AR(1) 0.5 0.25 0.981 0.406 0.392 0.947 0.941 1
AR(1) 0.5 0.50 1.722 0.393 0.337 0.950 0.924 1
AR(1) 0.8 0.00 2.221 0.512 0.504 0.944 0.944 1
AR(1) 0.8 0.25 5.375 0.506 0.478 0.937 0.935 1
AR(1) 0.8 0.50 11.162 0.479 0.406 0.929 0.919 1
AR(2) (1.34, -0.42) 0.00 11.401 0.401 0.400 0.948 0.947 2
AR(2) (1.34, -0.42) 0.25 27.826 0.394 0.380 0.946 0.943 2
AR(2) (1.34, -0.42) 0.50 58.056 0.374 0.324 0.947 0.934 2
AR(2) (0.5, -0.3) 0.00 0.323 0.283 0.280 0.948 0.948 2
AR(2) (0.5, -0.3) 0.25 0.351 0.275 0.270 0.953 0.950 2
AR(2) (0.5, -0.3) 0.50 0.398 0.261 0.237 0.955 0.934 2

The robust intervals have close to nominal coverage for all \(\gamma\); the naive ones under-cover when the regressor is not exogenous (\(\gamma > 0\)).

González-Coya and Perron (2024), Table 1

Empirical MSE of the adaptive-Lasso FGLS slope relative to OLS, \(T = 400\), with the paper’s values, and coverage of the eq. (6)+(8) intervals:

knitr::kable(rep$gp24_table1, digits = 3)
skedastic T emse_ratio paper_ratio coverage
homoskedastic 400 1.010 1.000 0.957
x 400 0.905 0.920 0.953
x2 400 0.687 0.700 0.955
log2 400 0.449 0.460 0.945
exp 400 0.443 0.450 0.955
step 400 0.728 0.735 0.954

At \(T = 100\)–\(200\) the ratios of this implementation (and of pyfgls) are a few hundredths above the paper’s; the T = 400 column is matched.

Supplement, Table S.9: F-C and F-CH

\(T = 200\); MSE \(\times 100\), coverage and average standard errors:

knitr::kable(rep$s9, digits = 3)
design mse_ols mse_fc mse_fch coverage_fc coverage_fch se_fc se_fch
AR(1) 0.5, x^2 6.802 3.973 2.825 0.966 0.962 0.212 0.174
AR(1) 0.5, [log x]^2 0.809 0.469 0.212 0.963 0.968 0.073 0.048
AR(1) 0.5, exp 13.954 8.504 3.751 0.966 0.963 0.306 0.201
AR(2) (1.34, -0.42), x^2 48.770 1.535 1.043 0.964 0.958 0.135 0.108
MA(1) 0.5, x^2 6.339 3.942 2.849 0.966 0.958 0.210 0.175
ARMA(1,1) (0.8, -0.4), x^2 7.042 4.287 3.120 0.956 0.956 0.216 0.180
AR(1) 0.5, x^2, mixture 5.925 3.813 2.515 0.965 0.951 0.211 0.162
AR(1) 0.5, homoskedastic 0.937 0.535 0.542 0.963 0.958 0.076 0.075

F-CH improves on F-C under heteroskedasticity and loses nothing under homoskedasticity. With 1,000 replications some F-CH coverage rates are slightly above 0.95; the intervals are conservative, not too short.

Agreement with pyfgls

fgls is a port of the Python package pyfgls. Both packages fitted the same 500 data sets per design with the same cross-validation folds (pyfgls 0.1.0):

s <- xl$summary
s <- s[s$quantity %in% c("beta", "se", "kstar", "selected", "coverage_95"), ]
knitr::kable(s, digits = 15, row.names = FALSE)
design quantity max_abs median_abs max_rel share_different
serial_ar1_nonexog beta 2.000000e-15 0e+00 2.000000e-15 0.000
serial_ar1_nonexog se 0.000000e+00 0e+00 1.000000e-15 0.000
serial_ar1_nonexog kstar 0.000000e+00 0e+00 0.000000e+00 0.000
serial_ar1_nonexog coverage_95 0.000000e+00 NA NA NA
serial_ar2_exog beta 2.000000e-15 0e+00 2.000000e-15 0.000
serial_ar2_exog se 0.000000e+00 0e+00 2.000000e-15 0.000
serial_ar2_exog kstar 0.000000e+00 0e+00 0.000000e+00 0.000
serial_ar2_exog coverage_95 0.000000e+00 NA NA NA
serial_ma1 beta 2.000000e-15 0e+00 2.000000e-15 0.000
serial_ma1 se 0.000000e+00 0e+00 2.000000e-15 0.000
serial_ma1 kstar 0.000000e+00 0e+00 0.000000e+00 0.000
serial_ma1 coverage_95 0.000000e+00 NA NA NA
hetero_log2 beta 4.110000e-13 1e-15 4.070000e-13 0.000
hetero_log2 se 5.798303e-04 0e+00 1.056005e-02 0.012
hetero_log2 selected NA NA NA 0.012
hetero_log2 coverage_95 0.000000e+00 NA NA NA
hetero_exp beta 6.590000e-13 1e-15 6.340000e-13 0.000
hetero_exp se 3.609292e-03 1e-15 1.260608e-02 0.010
hetero_exp selected NA NA NA 0.010
hetero_exp coverage_95 0.000000e+00 NA NA NA
combined_ar1_log2 beta 7.020000e-13 1e-15 7.120000e-13 0.000
combined_ar1_log2 se 4.827348e-04 0e+00 1.164951e-02 0.004
combined_ar1_log2 kstar 0.000000e+00 0e+00 0.000000e+00 0.000
combined_ar1_log2 selected NA NA NA 0.004
combined_ar1_log2 coverage_95 0.000000e+00 NA NA NA
combined_ar1_exp beta 1.541700e-11 1e-15 1.338100e-11 0.000
combined_ar1_exp se 2.956611e-03 0e+00 1.320481e-02 0.006
combined_ar1_exp kstar 0.000000e+00 0e+00 0.000000e+00 0.000
combined_ar1_exp selected NA NA NA 0.006
combined_ar1_exp coverage_95 0.000000e+00 NA NA NA
combined_ar2_x2 beta 1.760000e-12 1e-15 1.933000e-12 0.000
combined_ar2_x2 se 1.355601e-03 0e+00 1.325978e-02 0.002
combined_ar2_x2 kstar 0.000000e+00 0e+00 0.000000e+00 0.000
combined_ar2_x2 selected NA NA NA 0.002
combined_ar2_x2 coverage_95 0.000000e+00 NA NA NA

Serial-correlation quantities agree to rounding error, and the selected AR order is identical in every data set. In about 1% of the Lasso data sets the degrees of freedom differ by one, because pyfgls 0.1.0 counts coefficients of order \(10^{-17}\) (left by interpolating its Lasso path at a knot) as selected. With the fixes merged into pyfgls after 0.1.0 (emiliogcs/pyfgls#2), everything agrees and the selected sets are identical:

xl$pyfgls_pr2$version
#> [1] "0.1.0 + emiliogcs/pyfgls#2"
knitr::kable(xl$pyfgls_pr2$summary, digits = 15, row.names = FALSE)
design max_rel share_support_different
serial_ar1_nonexog 2.300000e-14 NA
serial_ar2_exog 1.673000e-12 NA
serial_ma1 5.974939e-08 NA
hetero_log2 1.621900e-11 0
hetero_exp 1.521700e-11 0
combined_ar1_log2 3.056000e-12 0
combined_ar1_exp 3.445600e-11 0
combined_ar2_x2 7.462000e-12 0

The deterministic parts are also checked against golden fixtures generated by pyfgls (tests/testthat/test-golden-*.R), to relative precision \(10^{-8}\) or better.

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