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

Table 2

Simulated result with ϕ equal to 0.5.

		T = 50	T = 100	T = 500
WLAdaLASSO	Gauge	0.210	0.055	0.013
	Potency	0.649	0.830	0.997
Autometrics (0.05)	Gauge	0.065	0.042	0.033
	Potency	0.280	0.407	0.807
Autometrics (0.01)	Gauge	0.034	0.018	0.025
	Potency	0.243	0.306	0.704
LASSO	Gauge	0.510	0.199	0.125
	Potency	0.692	0.660	0.717
AdaLASSO	Gauge	0.251	0.097	0.076
	Potency	0.460	0.520	0.691
SCAD	Gauge	0.210	0.175	0.093
	Potency	0.351	0.581	0.699
MCP	Gauge	0.221	0.148	0.079
	Potency	0.350	0.556	0.691