endogeneity

PDR, FDR (Msize)

n = 50

n = 100

n = 200

Lasso

0.29, 0.71 (4.6)

0.38, 0.67 (5.8)

0.51, 0.64 (8.2)

SLasso

0.29, 0.73 (6.4)

0.45, 0.71 (9.0)

0.79, 0.70 (16.4)

SCAD

0.96, 0.55 (14.0)

0.99, 0.60 (17.5)

1.00, 0.64 (22.6)

ALasso

0.36, 0.70 (6.2)

0.47, 0.68 (8.8)

0.82, 0.69 (16.2)

MCP

0.97, 0.56 (14.5)

0.99, 0.64 (18.1)

1.00, 0.70 (23.6)

exogeneity

n = 50

n = 100

n = 200

Lasso

0.41, 0.25 (3.5)

0.81, 0.23 (6.8)

0.97, 0.16 (7.4)

SLasso

0.64, 0.46 (10.3)

0.97, 0.14 (7.0)

1.00, 0.05 (6.4)

SCAD

0.74, 0.53 (14.6)

0.99, 0.20 (11.7)

1.00, 0.04 (6.3)

ALasso

0.62, 0.44 (10.2)

0.95, 0.12 (6.9)

1.00, 0.05 (6.4)

MCP

0.75, 0.58 (15.2)

0.99, 0.25 (14.4)

1.00, 0.05 (6.4)