TABLE 3:

Result on the selection of the normal covariates with p=100.

			n = 100			n = 300			n = 500
σ2	ρ	Method	MSE	Corr	Inco	MSE	Corr.	Inco.	MSE	Corr.	Inco.
0.5	0.1	BAR	22.903	0.970	0.931	16.480	0.954	0.713	7.110	0.889	0.182
		LASSO	20.336	0.917	0.867	16.222	0.813	0.584	8.877	0.541	0.124
		ALASSO	63.584	0.569	0.493	11.013	0.704	0.172	5.469	0.691	0.022
		SCAD	19.821	0.936	0.887	16.626	0.847	0.610	7.493	0.606	0.131
	0.5	BAR	10.771	0.979	0.957	8.305	0.960	0.755	3.307	0.900	0.153
		LASSO	9.660	0.941	0.917	8.678	0.877	0.765	5.325	0.567	0.261
		ALASSO	27.797	0.620	0.556	5.748	0.704	0.180	2.804	0.686	0.017
		SCAD	9.518	0.947	0.922	8.609	0.893	0.754	3.509	0.666	0.175
	0.9	BAR	2.566	0.973	0.946	1.848	0.971	0.850	1.307	0.934	0.551
		LASSO	2.282	0.940	0.912	1.899	0.896	0.800	1.492	0.739	0.513
		ALASSO	5.791	0.679	0.611	1.703	0.722	0.378	1.003	0.665	0.121
		SCAD	2.205	0.957	0.934	1.929	0.935	0.851	1.616	0.876	0.652
1	0.1	BAR	23.857	0.969	0.935	16.213	0.953	0.699	7.618	0.899	0.214
		LASSO	20.412	0.928	0.880	16.051	0.810	0.580	9.441	0.567	0.156
		ALASSO	63.446	0.578	0.500	10.684	0.705	0.160	5.585	0.698	0.025
		SCAD	19.897	0.939	0.891	16.395	0.848	0.606	8.117	0.625	0.159
	0.5	BAR	10.768	0.976	0.955	8.225	0.943	0.719	3.489	0.902	0.172
		LASSO	9.611	0.942	0.918	8.667	0.864	0.753	5.536	0.575	0.280
		ALASSO	26.281	0.651	0.581	5.724	0.680	0.164	2.919	0.681	0.019
		SCAD	9.470	0.951	0.928	8.614	0.894	0.762	3.611	0.666	0.180
	0.9	BAR	2.571	0.973	0.951	1.846	0.974	0.859	1.324	0.936	0.571
		LASSO	2.262	0.944	0.918	1.895	0.900	0.802	1.505	0.743	0.519
		ALASSO	5.757	0.692	0.640	1.695	0.736	0.394	0.993	0.663	0.121
		SCAD	2.232	0.958	0.933	1.938	0.939	0.859	1.643	0.884	0.681