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

Table 3

Simulated result with ϕ equal to 0.8.

		T = 50	T = 100	T = 500
WLAdaLASSO	Gauge	0.220	0.056	0.011
	Potency	0.696	0.707	0.992
Autometrics (0.05)	Gauge	0.115	0.050	0.075
	Potency	0.282	0.471	0.601
Autometrics (0.01)	Gauge	0.083	0.027	0.066
	Potency	0.206	0.437	0.522
LASSO	Gauge	0.298	0.231	0.157
	Potency	0.587	0.683	0.719
AdaLASSO	Gauge	0.112	0.108	0.078
	Potency	0.327	0.516	0.683
SCAD	Gauge	0.078	0.177	0.091
	Potency	0.339	0.537	0.675
MCP	Gauge	0.071	0.150	0.083
	Potency	0.291	0.528	0.680