Estimations and Tests for Generalized Mediation Models with High-Dimensional Potential Mediators
受股票对新冠疫情反应的实证分析启发，提出高维潜在中介变量的广义中介模型，用于研究连接公司行业与股票价值的财务指标的中介效应，并开发了直接效应的估计和间接效应的检验方法。
Motivated by an empirical analysis of stock reaction to COVID-19 pandemic, we propose a generalized mediation model with high-dimensional potential mediators to study the mediation effects of financial metrics that bridge company’s sector and stock value. We propose an estimation procedure for the direct effect via a partial penalized maximum likelihood method and establish its theoretical properties. We develop a Wald test for the indirect effect and show that the proposed test has a χ2 limiting null distribution. We also develop a partial penalized likelihood ratio test for the direct effect and show that the proposed test asymptotically follows a χ2-distribution under null hypothesis. A more efficient estimator of indirect effect under complete mediation model is also developed. Simulation studies are conducted to examine the finite sample performance of the proposed procedures and compare with some existing methods. We further illustrate the proposed methodology with an empirical analysis of stock reaction to COVID-19 pandemic via exploring the underlying mechanism of the relationship between companies’ sectors and their stock values.