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)