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Table 2

Variable selection in the case where εiMVT3(0,Σ) and Σ follows an AR-1 structure

Parameter Quantile Model n = 400 n = 800
TN FN Correct/% MSE/10-2 TN FN Correct/% MSE/10-2
p = d = 10 0.25 proposed 15 0 100 0.571 15 0 100 0.277
oracle 15 0 100 0.571 15 0 100 0.267
0.50 proposed 15 0 100 0.393 15 0 100 0.189
oracle 15 0 100 0.377 15 0 100 0.182
0.75 proposed 15 0 100 0.573 15 0 100 0.263
oracle 15 0 100 0.572 15 0 100 0.258
p = d = 20 0.25 proposed 35 0 100 0.573 35 0 100 0.270
oracle 35 0 100 0.571 35 0 100 0.267
0.50 proposed 35 0 100 0.385 35 0 100 0.196
oracle 35 0 100 0.377 35 0 100 0.182
0.75 proposed 35 0 100 0.590 35 0 100 0.260
oracle 35 0 100 0.572 35 0 100 0.258

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