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. Author manuscript; available in PMC: 2021 Apr 30.
Published in final edited form as: J Am Stat Assoc. 2019 Apr 30;115(529):403–424. doi: 10.1080/01621459.2018.1555092

Table 4:

The means of PEs and MSEs for our two-step procedure in three scenarios: exact selection (“Exact”), over selection (“Over”) and missing variables (“Miss”). The proportion of times among 100 simulated data sets for each scenario is also reported. The “NA” denotes the values that are not applicable.

(n, sn, σe2) Scenario MSE(B1) MSE(B2) MSE(B3) MSE(B4) PE Proportion
(100, 2000, 1) Exact 11.61(0.18) 9.18(0.16) 43.22(0.38) 45.55(0.47) 1.06(0.001) 0.27
Over 11.17(0.17) 10.11(0.20) 43.6(0.46) 47.31(0.56) 1.05(0.001) 0.71
Miss 240(0) 53.49(1.68) 44.58(1.61) 59.11(1.18) 1.1(0.001) 0.02
(200, 2000, 1) Exact 7.09(0.08) 6.6(0.12) 23.97(0.16) 23.11(0.09) 1.03(0.0005) 0.04
Over 5.87(0.09) 5.03(0.11) 27.76(0.26) 28.44(0.30) 1.03(0.0003) 0.96
Miss NA NA NA NA NA 0
(100, 5000, 1) Exact 11.69(0.17) 9.74(0.19) 44.14(0.65) 45.79(0.41) 1.07(0.001) 0.27
Over 11.76(0.20) 9.75(0.19) 44.24(0.43) 46.60(0.54) 1.06(0.001) 0.64
Miss 240(0) 41.48(1.93) 44.96(0.65) 55.10(1.23) 1.12(0.001) 0.09
(200, 5000, 1) Exact 7.52(0.09) 6.69(0.11) 24.91(0.22) 24.24(0.08) 1.04(0.001) 0.05
Over 5.84(0.08) 4.84(0.08) 28.19(0.28) 28.57(0.28) 1.03(0.0005) 0.95
Miss NA NA NA NA NA 0
(100, 2000, 25) Exact 121.75(1.27) 114.12(2.19) 229.79(1.95) 270.16(3.47) 26.18(0.024) 0.29
Over 126.37(1.49) 121.47(2.69) 227.21(1.98) 283.29(3.00) 25.91(0.023) 0.70
Miss 240(NA) 102.16(NA) 217.49(NA) 256.52(NA) 26.45(NA) 0.01
(200, 2000, 25) Exact 79.26(0.80) 64.22(0.61) 177.62(0.86) 207.41(1.18) 25.54(0.017) 0.07
Over 84.81(1.27) 74.4(1.43) 177.92(1.71) 215.21(2.20) 25.54(0.012) 0.93
Miss NA NA NA NA NA 0
(100, 5000, 25) Exact 122.88(1.74) 114.5(2.49) 217.93(1.87) 260.99(2.64) 26.20(0.019) 0.34
Over 129.81(1.53) 122.59(2.63) 233.46(2.17) 286.15(3.34) 25.92(0.020) 0.58
Miss 240(0) 108.61(3.01) 239.31(2.06) 296.51(4.25) 26.23(0.022) 0.08
(200, 5000, 25) Exact 85.2(0.87) 72.92(1.48) 174.83(1.20) 206.34(2.32) 25.66(0.014) 0.06
Over 82.53(1.14) 73.57(1.37) 177.61(1.60) 211.56(2.12) 25.55(0.012) 0.94
Miss NA NA NA NA NA 0