endogeneity

PDR, FDR (Msize)

n = 50

n = 100

n = 200

Lasso

0.75, 0.54 (10.9)

0.85, 0.51 (11.7)

0.96, 0.42 (11.0)

SLasso

0.64, 0.71 (14.8)

0.90, 0.65 (16.1)

0.99, 0.62 (16.4)

SCAD

0.76, 0.52 (10.6)

0.99, 0.40 (11.1)

1.00, 0.40 (10.7)

ALasso

0.69, 0.67 (13.3)

0.88, 0.62 (15.2)

0.98, 0.58 (15.8)

MCP

0.75, 0.55 (10.7)

0.98, 0.50 (12.6)

1.00, 0.54 (14.7)

exogeneity

n = 50

n = 100

n = 200

Lasso

0.50, 0.13 (3.6)

0.78, 0.14 (5.9)

0.97, 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 (16.3)

0.88, 0.25 (10.1)

1.00, 0.08 (6.7)

ALasso

0.57, 0.29 (6.9)

0.90, 0.15 (6.9)

1.00, 0.06 (6.5)

MCP

0.74, 0.66 (18.1)

0.96, 0.27 (13.0)

1.00, 0.06 (6.7)