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) |