endogeneity

PDR, FDR (Msize)

n = 50

n = 100

n = 200

Lasso

0.23, 0.73 (3.9)

0.33, 0.64 (5.4)

0.44, 0.52 (6.3)

SLasso

0.20, 0.75 (4.8)

0.29, 0.70 (6.3)

0.44, 0.67 (9.9)

SCAD

0.93, 0.58 (15.0)

0.99, 0.67 (20.3)

0.99, 0.56 (18.1)

ALasso

0.31, 0.72 (4.6)

0.39, 0.62 (6.6)

0.46, 0.64 (8.6)

MCP

0.94, 0.59 (15.2)

1.00, 0.69 (20.7)

1.00, 0.75 (27.3)

exogeneity

n = 50

n = 100

n = 200

Lasso

0.49, 0.13 (3.6)

0.78, 0.14 (5.9)

0.96, 0.13 (7.0)

SLasso

0.58, 0.33 (7.7)

0.90, 0.17 (6.9)

1.00, 0.06 (6.4)

SCAD

0.71, 0.56 (11.3)

0.88, 0.25 (10.1)

1.00, 0.09 (6.7)

ALasso

0.56, 0.28 (6.8)

0.89, 0.15 (6.8)

1.00, 0.06 (6.4)

MCP

0.73, 0.66 (18.1)

0.96, 0.27 (12.9)

1.00, 0.06 (6.7)