Generalized Varying Coefficient Mediation Models

TL;DR

This paper introduces a flexible two-layer generalized varying coefficient mediation model that captures complex mediating effects with varying coefficients, applicable to diverse response types, and validated through simulations and real data analysis.

Contribution

It develops a novel two-layer model with spline-based estimation for mediators that vary with another variable, extending mediation analysis to more complex settings.

Findings

Self-efficacy moderates the impact of economic stress on withdrawal intentions.

The proposed method performs well in finite samples according to simulations.

Application reveals mediating effects of depressed affect in economic stress outcomes.

Abstract

Motivated by an analysis of causal mechanism from economic stress to entrepreneurial withdrawals through depressed affect, we develop a two-layer generalized varying coefficient mediation model. This model captures the bridging effects of mediators that may vary with another variable, by treating them as smooth functions of this variable. It also allows various response types by introducing the generalized varying coefficient model in the first layer. The varying direct and indirect effects are estimated through spline expansion. The theoretical properties of the estimated direct and indirect coefficient functions, including estimation biases, asymptotic distributions, and so forth, are explored. Simulation studies validate the finite-sample performance of the proposed estimation method. A real data analysis based on the proposed model discovers some interesting behavioral economic phenomenon, that self-efficacy influences the deleterious impact of economic stress, both directly and indirectly through depressed affect, on business owners' withdrawl intentions.