Asymptotic Confidence Intervals for Indirect Effects in Structural Equation Models

Author(s): Michael E. Sobel

Reviewed work(s):
Source: Sociological Methodology, Vol. 13 (1982), pp. 290-312
Published by: Wiley
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ASYMPTOTIC CONFIDENCE
INTERVALS FOR INDIRECT
EFFECTS IN STRUCTURAL
EQUATION MODELS
MichaelE. Sobel
INDIANA

UNIVERSITY

Since itsgeneral introductionto the sociologicalcommunity(Duncan, 1966), path analysishas become one of the most
widelyused tools in sociological research,and through its use
sociologistshave become more sophisticatedabout the general
For commentson an earlier draftof thischapter and for detailed advice I am indebted to Robert M. Hauser, Halliman H. Winsborough,and
Toni Richards,severalanonymousreviewers,and the editorof thisvolume. I
also wish to thankJohn Raisian, Nancy Rytina,and Barbara Mann for their
commentsand Mark Wilson for able research assistance. The opinions expressed here are the sole responsibilityof the author.

29()

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ASYMPTOTIC

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291

topic of structuralequation models. (For a thorough reviewof

the literature,see Bielby and Hauser, 1977.)
An intriguingaspect of path analysis, as traditionally
propounded, is that "it makes explicitboth the direct and the
indirect effectsof causal variables on dependent variables"
(Duncan, Featherman, and Duncan, 1972, p. 23) and thereby
allows for a detailed substantiveaccounting of the sociological
process under investigation.Despite the enormous interestin
indirecteffectsdisplayed by sociologists(Finney, 1972; Heise,
1975; Land, 1969; Lewis-Beck, 1974; Blalock, 1971; Duncan,
Featherman, and Duncan, 1972; Blau and Duncan, 1967;
Alwin and Hauser, 1975; Duncan, 1975), the distributionof
these effects has been ignored. Thus sociologists (and researchers in many other disciplinesas well) typicallytreat the
indirecteffectstheycalculate as parameter values and formulate inferenceswithoutaskingwhetherthe effectitselfis statistically significant.
I propose to remedythissituationby derivingthe asymptotic distributionof indirect effectsand indicating,both formally and by example, how researchers may easily compute
confidenceintervalsfortheirestimates.Since I assume thatthe
reader is already well acquainted withthe literatureon indirect
effects,I offerno extended discussion,per se, of thisliterature.
Although I focus on recursive models, the results that are
stated hold true for functions of the structuralcoefficients
under quite general conditions. Since an indirecteffectis definedas such a function,there is no need to proceed on a case
by case basis.
In the firstsection,I show how confidenceintervalsfor
the indirect effectsof a recursive structuralequation model
may be obtained. In the second section,I workout the example
in Alwin and Hauser (1975), which is taken from Duncan,
Featherman, and Duncan (1972), and demonstrate the ease
withwhichthe confidenceintervalsare obtained. In addition, I
show how inferencesabout the relative magnitudes of direct
and indirecteffectsmaybe formulated.The resultsof thiscomparison demonstratethe value of computingasymptoticconfi-

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292

MICHAEL

E. SOBEL

dence intervalsand suggestthatresearchersproceed withcaution before offeringdetailed substantiveexplications of the

indirecteffectsin complex structuralmodels.
THE FORMAL THEORY
In a recursivestructuralequation model, the indirecteffectsof an independent variable on a dependent variable may
be expressed as a linear combinationof products of structural
parameters.1Similarly,in a nonrecursive model or a model
withlatentvariables the indirecteffectsmay be expressed as a
functionof products of the structuralparameters (Fox, 1980;
Schmidt, 1980).2 In either case, the indirect effectsmay be
regarded as a nonlinear functionof the structuralparameters.
In order to place confidenceintervalsaround the indirecteffects,theirdistributionmustfirstbe determined.Among
other things,thisrequires,fora given model, an assessmentof
the distributionof the complete coefficientvectorunder a particularestimationprocedure. The techniquesthatare generally
used for estimating structural equation models are either
maximum-likelihoodprocedures (for example, full-information maximum likelihood) or procedures that have similar
asymptoticproperties (such as three-stageleast squares). The
justificationfor considering these techniques derives largely
fromthe factthatunder general regularityconditionsthe complete coefficientvector is consistent,asymptoticallynormally
distributed,and efficient(Theil, 1971, pp. 392-396). That is,
whereas the small-sample properties of these estimatorsare
often not well known, the large-sample properties are both
attractiveand tractable. For this reason, primarily,a general
procedure for assessing the distributionof indirecteffectswill
use asymptoticdistributiontheoryas opposed to exact distribution theory.
In a recursivemodel there are no feedback relationshipsamong the
dependent variablesand the disturbancesare uncorrelatedacross equations.
A more formaldefinitionis presented later in the exposition.
2 This is true under the regularityconditions stated by Fox (1980, p.
18) and Schmidt(1980, pp. 9-10).

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INTERVALS

The provision of an asymptoticdistributiontheoryfor

indirecteffectsrequires two steps. First,the asymptoticdistribution of the coefficientvectormustbe determinedfora given
structuralequation model and a given estimationprocedure.
Second, because the indirecteffectsare a nonlinear functionof
the structuralcoefficients,an appropriate method for evaluating the asymptoticdistributionof such functionsmust be
employed. The multivariate-deltamethod is utilized for this
purpose: It provides a simple, general, and elegant means for
evaluatingthe asymptoticdistributionof functionsof multinormallydistributedrandom variables.Withthese resultsin hand,
and witha consistentestimatorof the variances of the indirect
effects,we find it easy to constructa (1 - a)100% confidence
intervalfor the indirecteffectunder consideration.
AsymptoticDistributionof the CoefficientVector
in a Recursive Model
We begin by considering a systemof M equations. For

the jth structural equation, j = 1, . . .

Yi = Z,S,

M, let the model be

+ E,

(1)

where yj is the vectorof dependent random variables for the n

observations and Ej is a stochastic term distributed N(O, o-2I);

moreover, Zj = (Xj, Yj) is the full-rankmatrix of predetermined and endogenous variables,respectively,and 6j is the corresponding parameter vector (7*,

f3j*)'. Combining the M

equations, we may rewritethe systemin the alternativeform

YB=

xr+ E

(2)

B =
Y = (y1,
. . ., XK)
where
, YM),
X=(X1,
(f81h. . ., /3M)is the nonsingular matrixof coefficientsof the
endogenous variables,r = (Vi, . . .y, m)is the K x M matrix
of coefficients for the exogenous variables, and E =
(El, . * *,E(M). We assume that the restrictionson r include
only zero restrictions,whereas for B the restrictionsinclude
zero restrictionsas well as the restrictionsthatthe diagonal elementsare set to 1. Finally,we assume thateach row of E is independentlyand identicallydistributedN(O', I).

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MICHAEL

E. SOBEL

System(2), with the assumptions stated here, specifies

the complete formof the structuralequation model under consideration.If the model is identified,the unrestrictedelements
6 = (6,. . . , aM)in theparametermatrices
B and r maybe
estimatedby means of maximum likelihood (Rothenberg and
Leenders, 1964; Theil, 1971; J6reskog,1973). Under general
regularityconditions(Theil, 1971, p. 395), thisestimatorhas, in
large samples,an approximatelynormaldistributionwithmean
6 and variance-covariancematrixn-1[I(6)]-1, wheren is the size
of the sample and [1(6)] is the Fisher informationmatrix(Rao,
1973, pp. 324-328; Theil, 1971, pp. 384-396). The precise
statementis that
n1I2(6a

AN(O, [1(6)]1)

8)

(3)

convergesin law (distribution)to the quanis the maximumlikelihood estimatorof 6 based on a sample of size n. In the
special case whereB is an upper-triangularmatrixand t is diagonal, the system(2) is recursive(Theil, 1971, p. 461). It is well
knownthatforthiscase (Rothenbergand Leenders, 1964; Malinvaud, 1970; Theil, 1971) maximum-likelihoodestimationof
the systemreduces to equation-by-equationleast-squares estimationbecause the log-likelihoodfunctionis merelythe sum of
the M likelihood functionsfor the structuralrelationshipsspecifiedby (1). That is, the log-likelihoodfunctionfor the system
(2) is given by
That is, n1/2(6n -8)

tityon the right-hand

side of (3), where6n

(n/2) log

I (B')

1lB-1
2)

E
m'=1

E
M=1

'M(ym

(n/2)

- Zm'6m')'

(Y M

Zm6m)

which reduces to
L(81m

M,

) =

c+

j=1

log

AP-'

-2() E (Yj -ZjSj)

j=1

(4)

(Yj - ZjSj)4rj-

in the recursivecase. For this case, it may also be shown (see

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INTERVALS

Appendix) that [1(8)]-1 is a block-diagonalmatrix

O

0
Q21

Q'1

Q-1

. . .

0
0

. . . Q-1

withcomponentsQf1 = plimTjj(Z;zj/n)-1.3That is, fora recursive model the vector an obtained by combining the M
least-squaresestimatorssatisfies
n1/2(&

Hence

-6)

N(O, [Q(8)]-1)

(5)

is asymptoticallynormallydistributed.
Now that the asymptoticdistributionof the coefficient
vector has been established, it is necessary to consider the
asymptoticdistributionof the indirecteffects.As previouslyindicated, the multivariate-delta
method is used forthispurpose.
Because this technique may be unfamiliarto some readers, a
descriptionof the procedure follows.Readers who are familiar
with this technique may wish to skip the exposition and go
directlyto the results.
an

The Delta Method

The multivariate-deltamethod (Rao, 1973, pp. 385389; Bishop, Fienberg,and Holland, 1975, pp. 486-500) provides a general method for establishing the asymptoticdistributionof a differentiablevectorfunctionof a multinormally
distributedrandom vector.The method is an extension of the
single-delta method, which is justified by a theorem which
statesthat if a random variable 6n satisfies
1n2(8

6) -4 N(0

2(6))

(6)

3 NotethatTjj and ZjZj bothdependon n. Becauseitis cumbersome

to
all therandomvariables,
then subscript
is omittedwhenthereis no
subscript
riskof confusion.

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MICHAEL

E. SOBEL

thenany functionfthatis differentiablein a neighborhoodof 8

will satisfy

N(O,[fP(8)]2

-f(8))

n112(f(6n)

(7)

v2(8))

providedf'(8) does not vanish (Rao, 1973, pp. 386-387). For

example, in a single-variableregressionmodel
y-

b(x - x) + e

withconditionalvariance o-2 and least-squaresestimatorb, the

asymptoticdistributionof (b)-1 may be of interest.By (5) we
know that
n

2(bn_-b)

-$N(O,

lim((x -)2/n)-)

and application of (7) yields the conclusion that4

n

(b-l-b1)-3 N(O, (-b2)2

lim((x

/n)- )

Note, however, that as b approaches zero, (b)-1 becomes unbounded and the delta method cannot be applied.
To see heuristicallywhythe single-deltamethod works,
we consider a Taylor expansion off, a functionof the parameter set. Suppose thatfis twicedifferentiablein a neighborhood
of 6. A Taylor expansion off about 8 is given by
f(6M)

-f(8)

= f '(8)

(8n

6) + f"(6*)

(8n

6)2

/2

(8)

where 6* is some number in the interval(On, 6). For large n,6*

is close to 6, so that the firsttermon the right-handside of (8)
dominates the second, which may be considered negligible.
Thus
f(6n)

-f(8)

f '(8)

(6n

6)

(9)

is an approximatelylinear functionof An.

That is,f(68)-f(6)
Because An is approximatelynormalin large samples and linear
functionsof normallydistributedrandom variables are normallydistributed,f(6k)has an approximate normal distribution
4 For this resultto hold, it is technicallynecessaryto assume the existence of the limitin question (Theil, 1971, p. 363).

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ASYMPTOTIC

297

INTERVALS

CONFIDENCE

in large samples. Taking expectations and variances of both

sides of (9), we see that

E(f(8n) =:-f (8)

and

f ( ))-n -l

V(

[ft(8)]1V2(8)

That is, for large n the result (7) holds.

To consider the multivariate-deltamethod, let f be a
function that is differentiablein a neighborhood of an Sdimensional vector 8 and let
(afasyt

(af/dl1'

If
8)

n1/2(-

df/d6s)

A N(O,1(8))

(10)

then

-f(8))

n12 (f(-n)

N(O, (Of/6s)'(8)(Of/Os)) (11)

(cf/68) does not

provided the quadratic form (c6f/68)'I()
vanish (Rao, 1973, p. 387).
Heuristically,thisresultmay be justifiedby an extension
of the argument used to establish the plausibility of the
single-deltamethod. Suppose thatf has the Taylor expansion
f(8)

-f (8)

(8n

8)' (Of/O8)+ Rn

(12)

where Rnapproaches zero as n increases withoutbound. Then,

for n large,
(13)
f8(6) - f(8)
(8n 8)' (Cf/CO)
-

distributedrandom
This is a linear functionof a multinormally
vector; hence its distributionis normal,E(f(Ak) =f(8) and
V(f8({n)) ==n-1 [(a*f/a*)8) 1(8)

model

(c*f/c*)8)

As an example, consider the two-variable regression

y

b(x - x) + c(z

z) + e

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MICHAEL

E. SOBEL

and suppose thatthe product bc is of interest.Let bn = (bn, en)'

and let b = (b, c)'. Suppose that

nl 2(bn- b)

N (?,(

j2

22))

(14)

Application of the multivariate-deltamethod then yields the

conclusion that
n12

(bc

bc)

-*

N(O, C2o-11+ 2bcou12+ b2o-22)

(15)

Note, however,that if both b and c are zero the variance term

vanishes and the initialconditions for application of the delta
method are not met.
Obtaining AsymptoticConfidence Intervals for the
Indirect Effects
To obtain asymptoticconfidence intervalsfor the indirect effects,their asymptoticdistributionmust firstbe determethod is used
mined; a general formof the multivariate-delta
to obtain this result. Let F = (fi, . . f')' be a vector-valued
function that is differentiablein a neighborhood of an Sdimensional parametervector8, and let (OF/06) be the matrix

/8
Jaf,

Qfi/a81
If
n2(6n

6)

N(0,1(8))

(16)

then a differentiablefunctionF satisfies

n (F(Sn) - F(6))

A N(0,

(OF/68)1(6)(OF/O8)')

(17)

where the rank of the covariance matrixin (17) is less than or

equal to I (Rao, 1973, p. 388).
Obtaining the asymptoticdistributionof the indirecteffects in a recursive model is now a simple matter. Let F-

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CONFIDENCE

ASYMPTOTIC

(f1, . . ,f,)' now be a column vector of indirecteffects.Because thefi are sums of products of the structuralparameters,
theyare differentiablein a neighborhoodof S. Thus results(5)
and (17) may be combined, yieldingthe conclusion that
n1/2(F(

F(6))

A N(O,
CD

(OF/06)[Q(6)]-1(OF/068)')

(18)

That is, for large n the indirect effectsin a recursive model

have the approximate distribution
(19)

N(F(8), n-1(OF/06) [Q(6)]-1(OF/06))

To obtain asymptotic(1 - a)100% confidenceintervals

for the components of F, let Z
N(0, 1) and let F(z*) = 1 a/2, where cFis the distributionfunctionof Z. Then, because
the elements in aF/la and [Q(S)]-l are continuous near 8, a
(1 - a)100% confidence intervalfor the ith component of F,
i= 1, . . ., I, is given byf1(6) + wh/2z*;wii is the ith diagonal
element of
n-1(OF/06)[Q())]-1(aF/a6)I

where 6 is used to indicatethatthe matricesare evaluated at the

solution 8 (Rao, 1973, pp. 388-389).5
5 It should now be clear how to extend the resultsbeyond the recursive
case. In the more general case, the log-likelihoodfunctionfor system(2) no
longer takes form(4) but may be writtenas

c - (n/2)log I (B')-14B-1 l

-(1)

m'=l m=1

-mm(YM,

-Zm'1m')'

(YM-zmam)

where pm'm is the (m'm)thelement of I-1 (Theil, 1971, p. 525). If W is not

diagonal, maximizationof the likelihood functionwith respect to the elemaximum-likelihoodestimentsof B, F, and I leads to the full-information
mator(J6reskog,1973; Rothenbergand Leenders, 1964), whichis asymptoticallyequivalentto the three-stageleast-squaresestimator(Theil, 1971, p. 526;
Sargan, 1964). If W is diagonal, maximizationof the likelihood functionwith
respect to the elements of B, r, and I yields the limited-information
maximum-likelihoodestimator,which is asymptoticallyequivalent to the
two-stage least-squares estimator (Theil, 1971, p. 507). Thus either (1)
three-stageleast squares or full-information
maximum likelihoodor (2) twostage least squares or limited-information
maximum likelihood may be used
to obtain the estimatesand the invertedinformationmatrixof Equation (3).
(For mathematicalexpressions for the elements in the informationmatrix,

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MICHAEL

E.

SOBEL

AN EXAMPLE

To illustratehow asymptoticconfidence intervals for

indirecteffectsmay be obtained, the example fromAlwin and
Hauser (1975), originallytaken fromthe correlationmatrixin
Duncan, Featherman,and Duncan (1972, p. 38), is reworked.
See Figure 1 forthe path diagram. The variablesin thismodel
of the achievementprocess are father'soccupational status(Xa),
father'seducation (Xb),number of siblingsin the familyof ori-

Figure 1.

Path diagram for a model of socioeconomic achievement.

/3

?2

see J6reskog, 1973, p. 112; Theil, 1971, p. 526; and Rothenberg and
Leenders, 1964, p. 67.) Provided the indirecteffectsare differentiable,
confidence intervalsmay be obtained as before.
For models withunobserved variables,LISREL may be used to obtain
the maximum-likelihoodestimatesand the inverseoifthe informationmatrix.
(See J6reskog,1973, p. 109, for formulas.)Provided the indirecteffectsare
differentiable,
confidenceintervalsmay be obtained as before. (On the subject of indirect effectsin models with unobserved variables, see Schmidt,
1980.)

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INTERVALS

301

entation(Xc),responde~nt'seducation (yl),respondent'soccupational statusin March 1962 (y2), and respondent's income, expressed in unitsof thousands,in 1961 (Ye). The resultsapply to
nonblack men with nonfarm background in the experienced
civilianlabor force,of age 35 to 44 in March 1962.6
Table 1 presentsthe coefficientsforthe structuralmodel
and Table 2 displaysthe estimatedindirecteffectsin both symbolic and numerical form.7In addition, Table 2 contains the
asymptoticstandard errors of the indirecteffects.
The standarderrorsin Table 2 were obtained as follows.
First thefi, i = 1, . . ., 10, are differentiated with respect to
the structural parameters, yielding the 10 x 12 matrix
(OF/06), with (is)thelement (af/1a8s),evaluated at the solution
6. In symbolicform, Table 3 presents this matrix of partial
derivatives;the parameter at the top of each column indicates
thatthe partial derivativeis taken withrespectto that parameter. Next the estimatedvariance-covariancematrixof 8 is premultipliedby the matrixof Table 3 and postmultipliedby its
transpose, yielding the estimated asymptoticvariance-covariance matrix of the indirect effects(Table 4).8 From here it
6 All the results are presented for the unstandardized form of the
model. However, the resultsthat have been established can be modified to
hold asymptoticallyfor the standardized solution.
7 Readers of the Alwin and Hauser paper maywonder whythe simpler
expressionsforthe indirecteffectstheyuse are not employed here. Their expressionsare a functionof both structuraland reduced-formparameters; in
general, to work with these expressions in a distributionalframeworkone
needs thejoint distributionof the reduced-formparametersand the structural parameters. Furthermore,the formulasgiven by Alwin and Hauser are
valid for only a limitedclass of recursivemodels, as the authors note.
Similarly,the expressions given by Fox (1980, p. 11) are not used because the indirecteffectshe defines are "total" indirecteffects-that is, the
indirecteffectof a variableon a subsequent variableis given as the sum of the
indirecteffectsthroughall the interveningvariablesand combinationsof the
interveningvariables.Here I preferto allow the possibilitythatusers may also
find it worthwhileto examine particularcomponents of "total" indirecteffects.See, for example, the illustrationin this section.)
8 The estimatedasymptoticcovariance matrixis 12 x 12, as opposed
to 15 x 15, because the variablesin the analysiswere,withoutloss of generality,deviated about theirmeans. This is also the reason whythe matrixof partial derivativesis 10 x 12 rather than 10 x 15.

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MICHAEL

E. SOBEL

TABLE 1
COEFFICIENTS AND STANDARD ERRORS (IN PARENTHESES) FOR THE
ACHIEVEMENT
STRUCTURAL EQUATION MODEL OF SOCIOECONOMIC
IN FIGURE 1
Dependent Variable
Independent
Variable

Yi

Xa

8ia

0.0385

(0.0025)
0.1707
81b
(0.0156)
81C= -0.2281
(0.0176)

Xb

Xc

Y3

Y2

Yi

82a

82b

82c

821

0.1352

83a

0.0490

83b =

(0.0175)
(0.1082)
-0.4631

83c

(0.1231)
4.3767
(0.1202)

831 =

Y2

0.0114

(0.0045)

832 =

0.0712

(0.0275)
-0.0373

(0.0314)
0.1998
(0.0364)
0.0704
(0.0045)

NOTE: The sample size is 3,214; the population is nonblack,nonfarm,U.S. men in the
experienced civilianlabor force,aged 35-44 in March 1962. Symbolsare as described
in the text and Figure 1. The analysis is based on the correlation matrix and the
standard deviationsreported by Duncan, Featherman,and Duncan (1972, p. 38).

TABLE 2
INDIRECT EFFECTS AND ASYMPTOTIC STANDARD ERRORS
(IN PARENTHESES) FOR THE STRUCTURAL EQUATION MODEL
OF FIGURE 1

Dependent
Variable
Y2

Y3

Indirect
Effects
of Independent
Variables

Indirect EffectThrough
Yi Alone

Xa

11 =

Xb

f2 = 82181b =

Xc

f3 = 82181c= -0.9983

Xa

f4 = 8318ia =

Xb

f5

Xc

16

Yi

82181a =

Y2

0.1685
(0.0118)
0.7471
(0.0712)
(0.0818)

83181b
=

83181c =

0.0077

f7 = 832(82a + 82181a) =

(0.0015)
0.0341 f8
(0.0069)
-0.0456
(0.0090)

832(82b

82181b)

fA

832(82c

82181c)

il

= 832821 =

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0.0214

(0.0020)
0.0560
(0.0096)
-0.1028
(0.0111)

0.3081
(0.0214)

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INTERVALS

SYMBOLIC

TABLE 3
FORM FOR aF/la

81a

81b

81c

82a

82b

82c

821

83a

83b

83c

831

832

f1
f2

821

8ia

821

81b

f3

821

8lc

0?0

f4

831

8ia

f5

831

81b

f6

831

8lC

f7

832821

832

83281a

82a

82181a

f8

f9

832821

832

83281b

82b +

82181b

832821

832

83281C

82C +

f1o

832

82181C
821

is a simple matterto pick out the diagonal elements and compute asymptoticstandard errors,using these to create the (1 a)100% confidence intervals.
Table 2 indicatesthatwhile severalof the indirecteffects
are small, in no case would a 95 or 99 percent confidence intervalforany indirecteffectcover the value zero.9Hence it may
be assumed that the indirect effects are nonzero. Thus,
although the directeffectof father'seducation on respondent's
occupational statusis insignificant,
the indirecteffecton occupational statusthroughrespondent'seducation is greaterthan
zero. In other words, educational advantages in the familyof
orientation favorably influence occupational status by augmentingrespondent's education, which in turn has a positive
direct effect on occupational status. Similarly,although the
directeffectof the siblingvariable on income is not statistically
differentfrom zero, increasing the number of siblingsin the
familyof orientationdecreases income both by decreasing respondent's educational attainment(f6) and by decreasing respondent's educational attainmentand respondent's occupa-

tionalstatus(fe).

It is often of considerable theoretical and pragmatic

value to compare the relativemagnitudesof appropriate direct
9 Alternatively,
we could say,with90 percentconfidence,thatnone of
the indirecteffects,consideredjointly,are zero (Miller, 1966).

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ASYMPTOTIC
f2
A

fi
f2
fA
f4

fA
Ae
f7

A
Ag

fio

1.3912
-2.7139
-0.2800
0.0538
-0.1671
0.0449
0.0830
-0.2579
0.0695
0.3902

50.6970
4.3676
-0.1671
2.1225
0.4554
-0.2579
3.2740
0.7039
1.7322

TABLE 4
VARIANCE-COVARIANCE MATRIX (MULTIPLIED
f3

66.9629
0.0449
0.4554
2.7148
0.0695
0.7037
4.1868
-2.3137

0.0220
0.0792
-0.1140
-0.0058
-0.0371
0.0363
-0.1389

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0.4825
-0.4942
-0.0545
0.0373
0.1792
-0.6166

0.8119
0.0603
0.1819
-0.0053
0.8236

0.
-0.0
-0.0
0.

ASYMPTOTIC

CONFIDENCE

INTERVALS

305

and indirecteffects(Alwin and Hauser, 1975; Duncan, Featherman, and Duncan, 1972). There are a varietyof ways in
which such comparisons may be made; forexample, one could
assess the proportionof the totaleffectthatis direct (indirect).
the ratio of the direct(indirect)effectof interest
Alternatively,
to the relevantindirect(direct) effectmay be assessed, yielding
informationon both the relative magnitude and direction of
To implementsuch
influenceof the direct (indirect)effects.10
comparisons,

we define the ratios ri, i = 1, . . . , I,

as

gi(6)/fi(6),wherefi(6) is as previouslydefined and gi(6) is the

direct effectof the appropriate independent variable on the
dependent variable under consideration. Provided fi(6) # 0,
method may
the ri are differentiableand the multivariate-delta
be used to obtain asymptoticconfidenceintervalsforthe ratios
of interest.For example, let r1 = 82a/fi(6). From Table 2 it is
clear that the null hypothesisf1(6)= 0 can be rejected at the
0.01 level; thus r1 may be assumed to be differentiable.Differentiatingr1withrespect to the elements in 8 yields the 1 x
12 row vectorwith
arl/a8la =
ari/a62a

-82a/82181a
(82181a)-i

arl/a821 = -82a/81a 21

and all other partials equal to zero. Premultiplicationof this

row vector into the estimated asymptoticvariance-covariance
matrixof the structuralcoefficientsand postmultiplicationby
10 Alternatively,one could examine differencesbetween direct and
indirecteffects.In general,the manner in whichthe comparisonsare defined
should depend both on substantivecontext and statisticaltractability.To
appreciate the latterpoint,suppose thatwe had definedtheri,i = 1,. . . , I,
as the ratioof the indirecteffectto the directeffect.Since the null hypotheses
that82b = O and 83e = 0 have not been rejectedat the 0.05 level (see Table 1),
it is not reasonable to allow the comparisonsthatuse these expressionsin the
conditionsare viodenominator: If 82b and 83c are zero, the differentiability
lated. However, because it has been establishedthat the indirecteffectsmay
be assumed nonzero, it is permissibleto formulateall comparisons that use
these expressions in the denominator of the ratios, as we have done. Of
course, when the directeffectis zero, the ratioof the directto the indirecteffromzero.
fectshould not deviate significantly

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306

MICHAEL

E. SOBEL

the transposeof the row vectoryieldsthe estimatedasymptotic

variance of rf. It is now a simple matter to construct(1 a)I 00% confidence intervals for the ri, i = 1, . . . , I.
Table 5 presents values of the ri and their asymptotic
standard errors for i = 1, . . , 10; Table 6 presents 95 and
99 percent confidenceintervalsfor the ri. Moreover, Table 6
presents confidence intervals for three additional functions.
First,the ratioof the directeffect63a to the sum of the indirect
effectsf4andf7 is definedas r1,.Clearlyr11is simplythe ratioof
the directeffectof Xa on y3to the "total"indirecteffectof Xa on
y3-that is, the indirecteffectthat operates jointly throughYi
alone, throughY2alone, and throughYi and Y2*Similarly,r12is

definedas 63b/f5

f8and r13is definedas 83c/f6

f9.

Inspection of Table 6 reveals thatr2, r6, r9,and r13may

be assumed to equal zero; this result recapitulatesthe earlier
differentfrom
observationthat 62b and 83c are not statistically
zero. In addition, the null hypothesesthat r3 and r1l are less
than 1 are not rejected,at eitherthe 0.05 or 0.01 level, on the
TABLE 5
RATIOS OF DIRECT TO INDIRECT EFFECTS AND ASYMPTOTIC
STANDARD ERRORS (IN PARENTHESES) FOR THE STRUCTURAL
EQUATION MODEL OF FIGURE 1

Dependent
Variable

Indirect
Effects
of Independent
Variables

Y2

Xa

il =

Xb

f2

Y3

Indirect EffectThrough
Yi Alone

82a/82181a

0.8024

(0.1231)
82b/82181b

0.0656

(0.1452)

Xc

r3

82c/82181c

Xa

r4

83a/83181a

Xb

r5

83b/83181b

Xc

rS

83c/83181c

Yi

Y2

0.4639
(0.1318)
1.4820

(0.6860)
2.0876
(0.9631)
0.8184

(0.7298)

83a/832(82a

82181a)

83b/832(82b

82181b)

rs

83c/832(82c

82181c)

r10

r7

r8

0.5332

(0.2205)
1.2704
(0.5376)
0.3625

(0.3098)
831/832821

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0.6485

(0.1451)

ASYMPTOTIC

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INTERVALS

TABLE 6
ASYMPTOTIC CONFIDENCE INTERVALS
FOR RATIOS OF DIRECT TO INDIRECT
EFFECTS IN A MODEL OF SOCIOECONOMIC
ACHIEVEMENT

r2
r3
r4

r5
r8
r7
r8
r9

rio
rll
r12
r13

95% CI

99% CI

(0.5827,1.0221)
(-0.2190,0.3502)
(0.2056,0.7222)
(0.1374,2.8266)
(0.1999,3.9753)
(-0.6120,2.2488)
(0.1010,0.9654)
(0.2167,2.3241)
(-0.2447,0.9697)
(0.3641,0.9329)
(0.0729,0.7107)
(0.1407,1.4397)
(-0.1723,0.6745)

(0.4848,1.1200)
(-0.3090,0.4402)
(0.1239,0.8039)
(-0.2879,3.2519)
(-0.4839,4.5724)
(-1.0645,1.8828)
(-0.0357,1.1021)
(-0.1166,2.6574)
(-0.4368,1.2164)
(0.2741,1.0229)
(-0.0280,0.8116)
(-0.0648,1.6452)
(-0.3062,0.8084)

basis of these data. Thus the indirecteffectof the siblingvariable on respondent'soccupational statusis more negativethan
the directeffect,indicatingthatadditional siblingsin the family
of orientation detract from subsequent occupational attainments predominantlyby attenuatingthe educational experiences of individualsreared in larger families.Similarly,the effectof father'soccupational status on respondent's income is
predominantlyindirect: Respondent's income is enhanced by
high-statusorigins,primarilybecause high-statusoriginsincrement subsequent educational and occupational achievements.
The widthsof the confidenceintervalsdo not appear to
allow stronginferencesabout the magnitudesof the othercomparisons in Table 6. Nevertheless,it is not unreasonable to
suggest that rl, r7, and r,0 are not greater than 1. In other
words,the directeffectsof father'sstatuson son's statusand income are not larger than the effectsthat intervene through
son's education and son's occupational status,respectively;similarly,the direct effectof respondent'seducation on income is
not larger than the indirecteffectof education on income.
On balance, the analysissuggeststhatthe indirecteffects
in the model under considerationare nonzero, but the confidence intervalsfor the ratiosin Table 6 are too large to permit

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308

MICHAEL

E.

SOBEL

precise inferencesabout the relativemagnitudesof the direct

and indirecteffects.In turn,the example illustratesthe utility
of computing the confidence intervalsand suggests that researchersproceed withbothcaution and thoughtfulnessbefore
offeringdetailed substantiveinterpretationsof the various effectsin complex causal models.
SUMMARY
In the precedingpages I have proposed a method forassessingthe significanceof indirecteffectsin structuralequation
models and given an example. The method itself is quite
simple, and it is easy to performthe necessarycomputations.
All one needs is a regression program that computes the
variance-covariancematrix of the coefficients(for example,
BMDP or LISREL), a calculatorforcomputingthe elementsof
the matrixof partial derivatives,and a matrix multiplication
program for computing the estimated asymptoticvariancecovariance matrix of the indirect effects. Alternatively,the
computationscan be performedin one step witha good matrix
algebra program (for example, PROC MATRIX in SAS).
One caveat: The confidenceintervalsderived here are
valid forlarge samples. Since one seldom knowswhen a sample
is large enough, the applicationof these methods may be inappropriatein particularlysmall samples.
APPENDIX
In thisappendix we derive the asymptoticdistributionof
the complete coefficientvectorin a recursivemodel. We begin
withthe log-likelihoodfunction

=M,

c)=C + (n/2) E log I

3=1
M

(2) E (yj - Zf3j)' (y- Z_f36)

j=1

which is identicalto (4) in the text.

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(A-1)
.-1

ASYMPTOTIC

CONFIDENCE

309

INTERVALS

Following Rothenbergand Leenders (1964, pp. 60-61),

we differentiate (A- 1) with respect to Tjj, j = 1, . . . , M, obtainingthe conclusion thatin order for (A-1) to be maximized,
it must be the case that
XIjj = n-1(yj

ZjSj)' (yj

Zj8j) = TX'

1,

. . . ,

Substitutionof this result into (A-1) yields the concentrated

log-likelihoodfunction

&)
m,

L(81,

(A-2)

log TI'

C - (n/2) I

j=1

which may be maximized in lieu of (A-i).11 Differentiating

deriva(A-2) withrespectto S1, . . , Sm yieldsthe first-order
tives
aL/,8j = P

(z;(Y, -

j = 1, . .

ZSj,))

.,

(A-3)

and repeated differentiationyields

O
a2L/OSjOSh

ifj7h

- T-'Zzj

+
(yj

- Zj8j)
2(nTX.)-1(Z;(yj
= Gj
ifj
Zj6j)'Zj)

(A-4)

Let S = (Si, . . . , t) ' as in the text; then combiningthe elementsof (A-4) gives
-G,

_0
0

a2L/ 6O6

o~0
0

G2

G3

0
.

GM

It is well known that,under suitable regularityconditions,

plim(n-1(C2L/O')SO') )) = -I(S)
where I is the Fisher informationmatrix(Rao, 1973, p. 366).
"1 In effectwe are solvingfora subset of the parametersand using the
solution to simplifythe maximizationproblem. For a complete treatmentof
concentratedlikelihood functions,see Dhrymes(1974, pp. 324-334).

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310

MICHAEL

Suppose
Since

that T-1l(Z;Zj/n) has plim Qj X 0,

plim n-1(Z'(yj

1,

E.

SOBEL

. . .,

M.

ZjSj)) = 0

from(A-4) we readilyobtain
o
0

Qi

Q2

Q3

0
0

.0
? . .

Next we use the factthat under general regularityconditions

(Theil, 1971, p. 395)
nh/2(

That is, n1/2( ,

6)A N(O,[I(8)]-1)

(A-5)

6) convergesin law (distribution)to the quan-

tity on the right-hand side of (A-5), where [I(8)]-1

block-diagonalmatrix

Qi1
0

o
tMe

Q21

0
o

~o0

o Q-1

0 o

is the

. . . Q-1

This sufficesto show the result.

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R. M.

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