endogeneity | PDR, FDR (Msize) | ||
n = 50 | n = 100 | n = 200 | |
Lasso | 0.78, 0.58 (11.4) | 0.89, 0.54 (12.0) | 0.95, 0.42 (10.7) |
SLasso | 0.77, 0.70 (16.3) | 0.99, 0.62 (16.4) | 1.00, 0.64 (17.3) |
SCAD | 0.78, 0.47 (9.6) | 0.99, 0.37 (10.6) | 1.00, 0.38 (12.0) |
ALasso | 0.72, 0.65 (14.7) | 0.94, 0.56 (13.7) | 1.00, 0.52 (14.8) |
MCP | 0.74, 0.50 (9.6) | 0.99, 0.40 (11.0) | 1.00, 0.41 (14.8) |
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, 0.41 (10.2) | 0.95, 0.12 (6.9) | 1.00, 0.06 (6.4) |
MCP | 0.75, 0.60 (16.6) | 0.99, 0.25 (14.4) | 1.00, 0.05 (6.3) |