Table 1.

Size and Power of Screen and Clean Procedures using Lasso, Stepwise and Marginal regression for the screening step. For all procedures α = 0.05. For p = 100, δ = 0.5 and for p = 1000, δ = 1.5. Reported power is π_av. The top 8 rows of simulations were conducted using three stages as described in section 4, with a third of the data used for each stage. The bottom 8 rows of simulations were conducted splitting the data in half, using the first portion with leave-one-out cross validation for stages 1 and 2 and the second portion for cleaning.

Splits	n	p	model	Lasso	Size Step	Marg	Lasso	Power Step	Marg
2	100	100	A	0.005	0.001	0.004	0.00	0.00	0.00
2	100	100	B	0.01	0.02	0.03	0.62	0.62	0.31
2	100	100	C	0.001	0.01	0.01	0.77	0.57	0.21
2	100	10	D	0.291	0.283	0.143	0.08	0.08	0.04
2	100	1000	A	0.001	0.002	0.010	0.00	0.00	0.00
2	100	1000	B	0.002	0.020	0.010	0.17	0.09	0.11
2	100	1000	C	0.02	0.14	0.01	0.27	0.15	0.11
2	1000	10	D	0.291	0.283	0.143	0.08	0.08	0.04
3	100	100	A	0.040	0.050	0.030	0.00	0.00	0.00
3	100	100	B	0.02	0.01	0.02	0.91	0.90	0.56
3	100	100	C	0.03	0.04	0.03	0.91	0.88	0.41
3	100	10	D	0.382	0.343	0.183	0.16	0.18	0.09
3	100	1000	A	0.035	0.045	0.040	0.00	0.00	0.00
3	100	1000	B	0.045	0.020	0.035	0.57	0.66	0.29
3	100	1000	C	0.06	0.070	0.020	0.74	0.65	0.19
3	1000	10	D	0.481	0.486	0.187	0.17	0.17	0.13