Table 3.

Variable selections for β with the AR(1) correlation structure.

			n = 150			n = 200			n = 300
ρ	${\sigma }_u$	Method	C	IC	GMSE	C	IC	GMSE	C	IC	GMSE
$0.3$	0.2	LASSO	1.834	0	0.00027	1.950	0	0.00018	1.992	0	0.00010
		SCAD	1.842	0	0.00017	1.960	0	0.00011	1.992	0	7.6E-05
		nSCAD	1.796	0	0.00079	1.880	0	0.00061	1.964	0	0.00060
	0.4	LASSO	1.380	0	0.00676	1.586	0	0.00184	1.754	0	0.00601
		SCAD	1.396	0	0.00154	1.594	0	0.00113	1.758	0	0.00075
		nSCAD	0.988	0	0.03460	0.954	0	0.00621	0.892	0	0.00111
	0.6	LASSO	1.028	0	0.03337	1.150	0	0.03183	1.408	0	0.03737
		SCAD	1.060	0	0.00929	1.178	0	0.00516	1.410	0	0.00418
		nSCAD	0.448	0	0.24760	0.286	0	0.16020	0.162	0	0.09212
$0.7$	0.2	LASSO	1.884	0	0.00026	1.934	0	0.00015	1.992	0	0.00011
		SCAD	1.886	0	0.00014	1.936	0	0.00010	1.996	0	6.9E-05
		nSCAD	1.814	0	0.00092	1.904	0	0.00076	1.948	0	0.00062
	0.4	LASSO	1.420	0	0.00301	1.588	0	0.00662	1.794	0	0.00126
		SCAD	1.474	0	0.00168	1.614	0	0.00107	1.824	0	0.00084
		nSCAD	1.046	0	0.00856	0.982	0	0.00197	0.886	0	0.00628
	0.6	LASSO	0.984	0	0.03522	1.212	0	0.03437	1.428	0	0.04007
		SCAD	0.994	0	0.00885	1.236	0	0.00583	1.436	0	0.00406
		nSCAD	0.460	0	0.23031	0.308	0	0.16011	0.136	0	0.08534