Research Article
A Comparison of Autometrics and Penalization Techniques under Various Error Distributions: Evidence from Monte Carlo Simulation
Table 1
Simulation results for exponentially distributed errors.
| | Methods | 0.25 | 0.90 | Potency | Gauge | Potency | Gauge |
| {100, 20} | Autometrics | 0.999 | 0.011 | 0.612 | 0.042 | SCAD | 1 | 0.219 | 0.924 | 0.577 | MCP | 1 | 0.140 | 0.925 | 0.562 |
| {100, 25} | Autometrics | 0.999 | 0.01 | 0.610 | 0.037 | SCAD | 1 | 0.177 | 0.890 | 0.498 | MCP | 1 | 0.110 | 0.885 | 0.472 |
| {100, 30} | Autometrics | 0.999 | 0.012 | 0.612 | 0.037 | SCAD | 1 | 0.142 | 0.845 | 0.391 | MCP | 1 | 0.085 | 0.847 | 0.397 |
| {300, 20} | Autometrics | 1 | 0.009 | 0.955 | 0.010 | SCAD | 1 | 0.102 | 0.995 | 0.305 | MCP | 1 | 0.090 | 0.995 | 0.294 |
| {300, 25} | Autometrics | 1 | 0.010 | 0.959 | 0.012 | SCAD | 1 | 0.061 | 0.994 | 0.269 | MCP | 1 | 0.056 | 0.992 | 0.261 |
| {300, 30} | Autometrics | 1 | 0.011 | 0.958 | 0.012 | SCAD | 1 | 0.045 | 0.989 | 0.231 | MCP | 1 | 0.039 | 0.990 | 0.230 |
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