Dear Stata users
I have a model in which the relationship between a predictor �x� and an
outcome �y� is mediated by three factors (�r�, �s� and �t�). I am only able
to test whether one of the predictors (�r�) mediates the relationship
between �x� and �y� (I only have data on this mediating variable and I
cannot get data on the other two). I would like to implement Baron and Kenny
(1986)�s test for mediation. At least, this involves estimating the
following system:
Y=a1+b*r+c*x+epsilon1
r=a2+d*x+epsilon2
Given that the errors of the two equations are potentially correlated, it
has been suggested that a 2SLS approach should be used. I have seen that
this could be done with ivregress, provided that I can find data on at least
one variable that affects �r� and does not affect �y�. My doubts are the
following:
1) Given that I have a triangular system, do I have to use the
traditional approach implemented by ivregress or the �modified� proposed in
http://www.stata.com/support/faqs/stat/ivr_faq.html ? Are both valid?
2) How do I test for the hypothesis that the errors are correlated? I
have seen that the use of a Hausman test is suggested in the literature, but
I do not know how to implement this in Stata (specially in the case I use
the �modified� approach)
3) Given that I have panel data, could I take advantage of the panel
structure of my data to correct for the fact that I do not have information
on two of the mediating variables (�s� and �t�)? Is there a procedure in
Stata for that?
Thanks a lot
Jaime G�mez
Universidad de Zaragoza
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