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Re: st: Re: Re: FW: Mediation with endogenous mediator and endogenous independent variables


From   John Antonakis <John.Antonakis@unil.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Re: FW: Mediation with endogenous mediator and endogenous independent variables
Date   Wed, 19 Jun 2013 19:02:40 +0200

Hi:

Your model is:

ivregress y c (x1 x2 m = z1 z2 z3), first r

To establish mediation, if m is endogenous (you can see if m is endogenous by running "estat endog" postestimation) then you can only use z1, z2, z3, and c as instruments for m (with z1-z3 being the excluded instruments). What you ask below makes no sense (to me). If you want to see the indirect effect precisely via a Sobel test, then move this into sem (or you could use reg3 if you wish to have 2sls estimates, though you can't combine -robust- with reg3 but you can bootstrap):

sem (y<- c x1 x2 m) (x1 x2 m <- z1 z2 z3), covstructure(e._OEn, unstructured) vce(robust)

To see what the coefficients are named, postestimation do:

sem, coeflegent

Then test what non-linear effects you want:

nlcom _b[y:m]*_b[m:z1]
nlcom _b[y:m]*_b[m:z1] + _b[y:m]*_b[m:z2] + _b[y:m]*_b[m:z3]
etc.

Hope this helps.

J.

P.S. if you wish take a look at:

Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6). 1086-1120. http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf

We discuss the traditional Baron-Kenny method for testing mediation (or related procedures like Preacher-Hayes), who methods only work is the mediator is exogenous. I all other cases you must use an instrumental variable estimator (via 2SLS or ML estimation).



__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 19.06.2013 12:47, A.M. Aranda Gutierrez wrote:
> Dear John,
>
> Thanks again for your help. I'm sorry my message is still unclear.
> I think you already gave an answer to my question, but  just to clarify,
> Are you suggesting me to interpret the impact of the independent variables on the mediator by looking at the impact of the instruments on the mediator? > In other words, if the instruments are strong, can I make a conclusion about the impact of the endogenous independent variables on the mediator by looking at the impact of the instruments on the mediator? > So, is it not possible for Stata to produce an output of m = c (x1 x2 x3 = z1 z2 z3) when using the ivregress 2sls command?
>
> Best,
>
> Ana
>
>
>
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