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# Re: [Fwd: Re: st: sgmediation and panel data]

 From John Antonakis To statalist@hsphsun2.harvard.edu Subject Re: [Fwd: Re: st: sgmediation and panel data] Date Sun, 16 May 2010 17:16:56 +0200

Hi:

The Baron and Kenny method is flawed. It assumes two equations estimated by OLS:

x = a0 + b1z + u
y = b0 + b1x + e

If x is endogenous, then the cross equation correlation must be estimated either using maximum likelihood or an IV estimator (2SLS). If you don't use the predicted value of x in the y equation and if you don't correlated the disturbances, then you assuming that x is exogenous, which is a big mistake (if it isn't exogenous). Estimates in the y equation will be inconsistent.

So, I would use -cmp-; you can include dummy variables in there and also correct for clustering.

HTH,
John.

____________________________________________________

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

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

Faculty page:
http://www.hec.unil.ch/people/jantonakis

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________

On 16.05.2010 17:07, Konstantinos Pitsakis wrote:
Dear John,

I hadn’t realized that clustering the errors was the problem, so I now dug
deeper into this and I think I got the point.

Compared to your advice, I was wondering whether you think it would be OK to
simply run fixed effects with clustering [vce(cl)] in Stata and then do the
Baron & Kenny method on mediation (with the Sobel test).
This sounds easy and straightforward to me because I'm not sure why I should
use cmp and nlcom.

Best regards, Konstantinos Pitsakis
T: +31 13466 2523

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: Wednesday, May 12, 2010 2:19 PM
To: statalist@hsphsun2.harvard.edu
Subject: [Fwd: Re: st: sgmediation and panel data]

Forgot to mention, -cmp- is a userwritten command. For information on this see:

ssc d cmp

Best,
J.

-------- Original Message --------
Subject: 	Re: st: sgmediation and panel data
Date: 	Wed, 12 May 2010 13:22:43 +0200
From: 	John Antonakis <john.antonakis@unil.ch>
Organization: 	University of Lausanne
To: 	statalist@hsphsun2.harvard.edu
References: 	<003701caf1bb\$8c3b10e0\$a4b132a0\$@Pitsakis@uvt.nl>

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

HTH,
John.

____________________________________________________

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

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

Faculty page:
http://www.hec.unil.ch/people/jantonakis

Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________

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:
http://www.stata.com/statalist/archive/2009-03/msg01155.html
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: k.pitsakis@uvt.nl

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