Transcriptome-Wide Association Studies (TWASs) have become increasingly popular in identifying genes (or other endophenotypes or exposures) associated with complex traits. In TWAS, one first builds a predictive model for gene expressions using an expression quantitative trait loci (eQTL) data set in stage 1, then tests the association between the predicted gene expression and a trait based on a large, independent genome-wide association study (GWAS) data set in stage 2. However, since the sample size of the eQTL data set is usually small and the coefficient of multiple determination (i.e.,