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) |