Research Article
A Comparison of Autometrics and Penalization Techniques under Various Error Distributions: Evidence from Monte Carlo Simulation
Table 2
Simulation results for gamma distributed errors.
| | Methods | 0.25 | 0.90 | | Potency | Gauge | Potency | Gauge |
| | {100, 20} | Autometrics | 1 | 0.01 | 1 | 0.014 | | SCAD | 1 | 0.101 | 0.999 | 0.065 | | MCP | 1 | 0.081 | 1 | 0.07 |
| | {100, 25} | Autometrics | 1 | 0.012 | 1 | 0.016 | | SCAD | 1 | 0.070 | 1 | 0 | | MCP | 1 | 0.052 | 1 | 0.050 |
| | {100, 30} | Autometrics | 1 | 0.013 | 1 | 0.022 | | SCAD | 1 | 0.047 | 1 | 0.046 | | MCP | 1 | 0.033 | 1 | 0.039 |
| | {300, 20} | Autometrics | 1 | 0.01 | 1 | 0.013 | | SCAD | 1 | 0.100 | 1 | 0.027 | | MCP | 1 | 0.079 | 1 | 0.035 |
| | {300, 25} | Autometrics | 1 | 0.011 | 1 | 0.012 | | SCAD | 1 | 0.070 | 1 | 0.031 | | MCP | 1 | 0.048 | 0.999 | 0.026 |
| | {300, 30} | Autometrics | 1 | 0.010 | 1 | 0.009 | | SCAD | 1 | 0.055 | 1 | 0.026 | | MCP | 1 | 0.043 | 1 | 0.023 |
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