Table 3.

Simulation setup II: Summary of variable selection.

Methods	Stepwise	Pen1	Pen2	Pen3	EN1	EN2	EN3
		two-stage procedure
		main effects
average # of effects found	29.63	19.17	12.27	19.48	19.18	12.27	19.78
average # of true effects found	5.78	5.71	6.10	5.77	5.71	6.10	5.76
TPR	0.578	0.571	0.610	0.577	0.571	0.610	0.576
FPR	0.265	0.150	0.069	0.152	0.150	0.069	0.156
		interaction effects
average # of effects found	–	–	14.09	9.85	–	14.09	9.80
average # of true effects found	–	–	4.10	2.23	–	4.10	2.20
TPR	–	–	0.342	0.186	–	0.342	0.183
FPR	–	–	0.002	0.002	–	0.002	0.002
		simultaneous procedure
		main effects
average # of effects found	24.29	20.23	12.27	20.23	20.24	12.27	20.27
average # of true effects found	5.95	5.93	6.10	5.93	5.93	6.10	5.93
TPR	0.595	0.593	0.610	0.593	0.593	0.610	0.593
FPR	0.204	0.159	0.069	0.159	0.159	0.069	0.159
		interaction effects
average # of effects found	–	–	17.09	18.93	–	17.12	18.94
average # of true effects found	–	–	4.60	3.40	–	4.60	3.40
TPR	–	–	0.384	0.284	–	0.384	0.283
FPR	–	–	0.003	0.003	–	0.003	0.003

NOTE: TPR, true positive rate; FPR, false positive rate. The total number of main effects is 100, whereas the number of true main effects is 10. The total number of two-way interaction effects is 4950, whereas the number of true interactions is 12.