Table 2 Overview of methods investigated in this study
Method | Variable selection | Tuning | Inference |
|---|---|---|---|
Full | None | None | Wald CI |
Oracle | None | None | Wald CI |
Lasso-CV-Split | Lasso | tenfold CV | Split-sample |
Lasso-CV-PoSI | Lasso | tenfold CV | Universally valid post-selection inference [3] |
Lasso-CV-SI | Lasso | tenfold CV | Exact post-selection inference [33] |
Lasso-Neg-SI | Lasso | Fixed penalization parameter [44] | Exact post-selection inference [33] |
ALasso-CV-Split | Adaptive Lasso | tenfold CV | Split-sample |
ALasso-CV-PoSI | Adaptive Lasso | tenfold CV | Universally valid post-selection inference [3] |
ALasso-CV-SI | Adaptive Lasso | tenfold CV | Exact post-selection inference [33] |
ALasso-Neg-SI | Adaptive Lasso | Fixed penalization parameter [44] | Exact post-selection inference [33] |