Table 2.

Empirical width and coverage [in brackets] of Wald (W) and Chebyshev (C) 95% CIs of the direct effect $\overline{\mathit{DE}}\left({\alpha }_1\right)$, indirect effect $\overline{\mathit{IE}}({\alpha }_1,{\alpha }_0)$, total effect $\overline{\mathit{TE}}({\alpha }_1,{\alpha }_0)$ and overall effect $\overline{\mathit{OE}}({\alpha }_1,{\alpha }_0)$ for simulations under scenario (ii) with numbers of groups m, number of individuals per group n_i, and continuous outcomes.

			m
			4	6	10	30	100
ni = 6	$\overline{\mathit{DE}}\left({\alpha }_1\right)$	W	3.51[0.89]	2.72[0.92]	1.92[0.94]	1.27[0.95]	0.71[0.95]
		C	7.66[1.00]	6.05[1.00]	4.32[1.00]	2.87[1.00]	1.62[1.00]
	$\overline{\mathit{IE}}({\alpha }_1,{\alpha }_0)$	W	1.89[0.80]	1.60[0.87]	1.26[0.91]	0.88[0.93]	0.42[0.95]
		C	3.92[0.94]	3.49[0.99]	2.82[1.00]	2.01[1.00]	0.96[1.00]
	$\overline{\mathit{TE}}({\alpha }_1,{\alpha }_0)$	W	3.14[0.78]	2.66[0.87]	2.06[0.91]	1.44[0.95]	1.44[0.95]
		C	6.30[0.94]	5.73[0.98]	4.56[1.00]	3.25[1.00]	1.58[1.00]
	$\overline{\mathit{OE}}({\alpha }_1,{\alpha }_0)$	W	2.01[0.84]	1.81 [0.88]	1.50[0.91]	1.09[0.95]	0.48[0.94]
		C	4.38[0.97]	4.05[0.99]	3.40[1.00]	2.47[1.00]	1.10[1.00]
ni = 1000	$\overline{\mathit{DE}}\left({\alpha }_1\right)$	W	0.27[0.93]	0.22[0.93]	0.18[0.94]	0.10[0.95]	0.06[0.95]
		C	0.60[1.00]	0.49[1.00]	0.40[1.00]	0.23[1.00]	0.13[1.00]
	$\overline{\mathit{IE}}({\alpha }_1,{\alpha }_0)$	W	0.12[0.80]	0.10[0.88]	0.11[0.91]	0.06[0.94]	0.03[0.95]
		C	0.24[0.95]	0.22[0.99]	0.25[1.00]	0.14[1.00]	0.08[1.00]
	$\overline{\mathit{TE}}({\alpha }_1,{\alpha }_0)$	W	0.21[0.78]	0.18[0.85]	0.19[0.91]	0.11[0.94]	0.06[0.95]
		C	0.41[0.93]	0.37[0.98]	0.41[1.00]	0.24[1.00]	0.13[1.00]
	$\overline{\mathit{OE}}({\alpha }_1,{\alpha }_0)$	W	0.11[0.82]	0.10[0.88]	0.13[0.91]	0.07[0.93]	0.04[0.95]
		C	0.23[0.96]	0.22[0.99]	0.30[1.00]	0.17[1.00]	0.09[1.00]