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Re: st: sgmediation and panel data

From   John Antonakis <>
Subject   Re: st: sgmediation and panel data
Date   Wed, 12 May 2010 13:22:43 +0200

Hi Kostas:

One solution would be with cmp, so you can cluster the standard errors, e.g.,

cmp (y = x z1 z2) (x = z1 z2 p1 p2), ind (1 1) cluster(firm)

(I'd double check that these estimates and the overid and identification stats with ivreg2)

Then you can do the Sobel test using the delta method with nlcom. Suppose you wanted to test the indirect effect of p1 on y through x. You'd do:

nlcom [x]p1*[y]x

How about the indirect effects both of p1 and p2 via x:

nlcom [x]p1*[y]x + [x]p2*[y]x



Prof. John Antonakis, Associate Dean Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny

Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Faculty page:

Personal page:

On 12.05.2010 12:11, Konstantinos Pitsakis wrote:
Dear colleagues,

I am trying to run a Sobel test for mediation on a panel database (15 years)
using the “sgmediation” command created by Phil Ender.

According to a previous statalist thread, this test should NOT work with
panel data:
However, I don’t understand what this means: I declared my database to be
panel with xtset and then run the Sobel test without any problems…
Are the results I get useless/wrong and why?
Also, is there any alternative to the Sobel test for mediation (that
measures the exact strength and significance of the mediation)?

Thank you very much for your help. Best regards, Dr Konstantinos Pitsakis Assistant Professor Department of Organization Studies Faculty of Social and Behavioural Sciences Fellow, Center for Innovation Research (CiR) Tilburg University, Room P1.169 PO Box 90153, 5000 LE Tilburg, the Netherlands T: +31 13466 2523 F: +31 13466 3002 E:

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