RE: st: moderated mediation model with panel data

[Cameron McIntosh <cnm100@hotmail.com>]

Christine,
I think you're going to need to do some more reading before this list will be helpful to you. That is a fairly rare application you speak of:
Flora, D.B., Khoo, S.T., & Chassin, L. (2007). Moderating effects of a risk factor: Modeling longitudinal moderated mediation in the development of adolescent heavy drinking. In T.D. Little, J.A. Bovaird & N. A. Card (Eds.), Modeling Ecological and Contextual Effects in Longitudinal Studies (pp. 231-254). Mahwah, NJ: Erlbaum.
Cam

> To: statalist@hsphsun2.harvard.edu
> Subject: st: moderated mediation model with panel data
> From: christine.scheef@unisg.ch
> Date: Thu, 27 Oct 2011 11:47:44 +0200
> 
> Dear STATA users, 
> 
> I am  trying to fit a moderated mediation model with panel data where the 
> mediator is at the same time the moderator. 
> I tried to model it as a two-stage model where A influences B in the first 
> step. In a second-step, I took the predicted values of B to estimate the 
> model with the moderation (AxB) on C where A and B also have a direct 
> influence on C. At the moment, I am using the command xtpcse for 
> autocorrelated panel data to estimate both steps.
> Unfortunately, in the second-step the R-squared decreases when including 
> the moderation effect (AxB) even though the interaction is highly 
> significant. I checked all models for multicollinearity, however, 
> multicollinearity is not an issue.
> 
> I have two questions, is it appropriate to model a moderated mediation as 
> I described above? And how may the decrease in R-squared be explained? Is 
> R-squared a valid measure when calculating a two-step model?
> 
> I would appreciate any advice on the model and how to estimate it 
> accurately.
> 
> Best,
> Christine
> 
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