Comparison of Weighted Lag Adaptive LASSO with Autometrics for Covariate Selection and Forecasting Using Time-Series Data

Table 1

Simulated result with ϕ equal to 0.1.

		T = 50	T = 100	T = 500
WLAdaLASSO	Gauge	0.268	0.055	0.014
	Potency	0.636	0.708	0.954
Autometrics (0.05)	Gauge	0.069	0.037	0.009
	Potency	0.256	0.375	0.960
Autometrics (0.01)	Gauge	0.028	0.016	0.001
	Potency	0.161	0.257	0.892
LASSO	Gauge	0.465	0.186	0.134
	Potency	0.619	0.612	0.713
AdaLASSO	Gauge	0.197	0.092	0.080
	Potency	0.389	0.523	0.681
SCAD	Gauge	0.176	0.174	0.098
	Potency	0.380	0.584	0.700
MCP	Gauge	0.178	0.155	0.083
	Potency	0.360	0.553	0.694