Abstract
In this short note, we propose a simplified adaptive fence procedure that reduces the computational burden of the adaptive fence procedure proposed by Jiang et al. [Jiang, J., Rao, J.S., Gu, Z., Nguyen, T., 2008. Fence methods for mixed model selection. Ann. Statist. 36,1669-1692] for mixed model selection problems. The consistency property of the new procedure is established. Simulation results show that the new procedure performs very well in a small sample Situation. The method is applied to a well-known data set in small area estimation. (C) 2008 Elsevier B.V. All rights reserved.