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) |