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Estimation and Inference for the Mediation

Proportion
Daniel Nevo∗ Xiaomei Liao†
Donna Spiegelman‡

∗
Harvard School of Public Health, [email protected]
†
Harvard School of Public Health, [email protected]
‡
Harvard School of Public Health, [email protected]
This working paper is hosted by The Berkeley Electronic Press (bepress) and may not be commer-
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Copyright c 2016 by the authors.
 Estimation and Inference for the Mediation
Proportion
Daniel Nevo, Xiaomei Liao, and Donna Spiegelman

Abstract

In epidemiology, public health and social science, mediation analysis is often un-
dertaken to investigate the extent to which the effect of a risk factor on an outcome
of interest is mediated by other covariates. A pivotal quantity of interest in such an
analysis is the mediation proportion. A common method for estimating it, termed
the “difference method”, compares estimates from models with and without the
hypothesized mediator. However, rigorous methodology for estimation and statis-
tical inference for this quantity has not previously been available. We formulated
the problem for the Cox model and generalized linear models, and utilize a data
duplication algorithm together with a generalized estimation equations approach
for estimating the mediation proportion and its variance. We further considered
the assumption that the same link function hold for the marginal and conditional
models, a property which we term ”g-linkability”. We show that our approach
is valid whenever g-linkability holds, exactly or approximately, and present re-
sults from an extensive simulation study to explore finite sample properties. We
developed estimation and inference methods that reflect the fact the mediation
proportion is bounded between zero and one. In particular, we developed statis-
tical testing procedures for the existence of mediation that honors these bounds,
and compare the empirical behavior of crude and logit based confidence intervals.
The methodology is illustrated by an analysis of pre-menopausal breast cancer
incidence in the Nurses’ Health Study. User-friendly publicly available software
implementing those methods can be downloaded at the last author’s website.
 Estimation and inference for the mediation proportion
Daniel Nevo, Xiaomei Liao and Donna Spiegelman

Abstract
In epidemiology, public health and social science, mediation analysis is often undertaken
to investigate the extent to which the effect of a risk factor on an outcome of interest is
mediated by other covariates. A pivotal quantity of interest in such an analysis is the me-
diation proportion. A common method for estimating it, termed the “difference method”,
compares estimates from models with and without the hypothesized mediator. However,
rigorous methodology for estimation and statistical inference for this quantity has not previ-
ously been available. We formulated the problem for the Cox model and generalized linear
models, and utilize a data duplication algorithm together with a generalized estimation
equations approach for estimating the mediation proportion and its variance. We further
considered the assumption that the same link function hold for the marginal and condi-
tional models, a property which we term “g-linkability”. We show that our approach is
valid whenever g-linkability holds, exactly or approximately, and present results from an
extensive simulation study to explore finite sample properties. We developed estimation
and inference methods that reflect the fact the mediation proportion is bounded between
zero and one. In particular, we developed statistical testing procedures for the existence of
mediation that honors these bounds, and compare the empirical behavior of crude and logit
based confidence intervals. The methodology is illustrated by an analysis of pre-menopausal
breast cancer incidence in the Nurses’ Health Study. User-friendly publicly available soft-
ware implementing those methods can be downloaded at the last author’s website.

1 Introduction
In many public health, biological, and biomedical systems, the mechanism that explains how
an intervention or exposure affects the outcome of interest is unknown, even after a causal
association between the exposure and the outcome is established. It is sometimes hypothesized
that there exists a mediator that connects the exposure and the outcome, sitting on the causal
pathway between the exposure and the outcome. In observational studies, identifying a plausible
ideally pre-specified, mediator can strengthen the casual inference of the findings. For example,
in an evaluation of the effectiveness of the ongoing, trillion dollar President’s Emergency Plan
for AIDS Relief (PEPFAR) in reducing HIV incidence and prevention in sub-Saharan Africa,
it would strengthen the evidence of a causal inference if it could be shown that a substantial
proportion of the reduction in disease incidence in time was mediated by increased programmatic
coverage in the region, thus diminishing exogenous time trends as the best explanation for any
observed decline.
Several methods have been proposed to assess whether mediation exists and to quantify its
magnitude [21, 9, 18, 20]. Baron and Kenny [2] described a sequence of hypothesis tests to asses
the evidence in the data for mediation by a specific covariate. They assumed a linear model for

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the relationship between the outcome and the exposure, both marginally and conditionally on the
mediator. They also assumed a linear model for the relationship between the exposure and the
mediator. Within the counterfactual framework, the building blocks of mediation analysis are
the natural direct effect (NDE), defined as the effect on the outcome when increasing the value of
the exposure in one unit while holding the mediator at a fixed level, and the natural indirect effect
(NIE), which is the effect on the outcome when the exposure is held fixed but the mediator value
is changed as it would have been changed if the exposure value were increased by one unit [30, 24].
The sum of the NDE and NIE is the total effect (TE). Under this framework, estimation methods
for the TE, NDE and NIE were developed for various statistical models. Examples include
logistic regression [10], zero-inflated regression models [37] and high-dimensional mediators in
linear regression with normal errors [11].
One way to estimate mediation is through the “product method” [2]. Another widely used
method for assessing mediation is the “difference method” [2, 1, 14]. It quantifies the difference
in estimates obtained from separate exposure-outcome relationship models, with and without
the mediator. The mediation proportion, defined as the change in the effect of the exposure due
to mediation by the mediator relative to the total effect, is a main parameter of interest when
performing mediation analysis. An analogous measure in surrogacy analysis, termed “proportion
of treatment effect” (PTE), aids researchers in deciding whether an intermediate marker can be
used as a surrogate for a final outcome of interest. Quantifying PTE entails statistical questions
relevant to those that arise in studying the mediation proportion. When the intermediate and
the final outcomes are both binary, confidence intervals for the PTE were developed [8]. A
time-to-event final outcome with surrogate biomarkers was also considered [16]. They authors
of [16] used a data duplication algorithm in order to estimate the covariance between estimators
obtained by separate models. The PTE measure in surrogacy research is still actively used and
researched (e.g.,[5, 23]).
While the mediation proportion is a popular measure in mediation analysis [4, 28, 29, 17, 25],
statistical inference for this parameter is not sufficiently developed. Early important contribu-
tions include [16] for Cox regression and [8] for logistic regression. In this paper, we provide
a framework for mediation analysis in generalized linear models (GLMs). We combine a gen-
eralized estimation equations (GEE) approach together with a data duplication algorithm to
formulate valid statistical inference under minimal assumptions on the marginal and conditional
distribution of the outcome. We discuss situations in which these assumptions should hold, and
assess robustness to departures from these assumptions in extensive simulation studies. This pa-
per further provides methods for statistical inference in mediation analysis using the difference
method, including studying confidence intervals for the mediation proportion and hypothesis
tests. We consider aspects of practical use and compare alternative methods for construction of
confidence intervals and statistical tests. Our investigation of these aspects is expanded beyond
GLMs to inference about the mediation proportion for Cox model [6].
The reminder of this paper is organized as follows. In Section 2, we formulate the models
needed for the estimation of the mediation proportion in GLMs. In Section 3, we consider the
g-linkability property for common link functions. In Section 4, we present methods for inference
for this parameter using the multivariate delta method and a data duplication method that
enables consistent variance estimation. In Section 5, we present results from a simulation study,
comparing the finite sample properties between possible procedures. In Section 6, we illustrate

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the use of the methodology developed in studying mediation of the effect of risk factors for pre-
menopausal breast cancer incidence by mammographic density in the Nurses’ Health Studies
NHSI [3] and NHSII [38]. In Section 7 we discuss results and related issues. We describe the
software we make publicly available in the Appendix.

2 The models
Assume Y1 , ..., Yn is a sample of results of an outcome of interest, and that for each subject i
we also observe a vector of factors Z i = (Xi , Mi , W i ) where Xi , Mi and W i are an exposure of
interest, a mediator and a vector of confounders, respectively. We assume the conditional mean
function for the outcome is E(Yi |Z i ) = g −1 (Z Ti β) with g being the link function and where β,
an unknown parameter vector, is composed of the appropriate components βX ,βM and β W . A
consistent estimator, β̂, for β is obtained as the solution to the estimating equations
n
X
U (β) = D i vi−1 [yi − E(Yi |Z i )] = 0 (1)
i=1

where D i = ∂E(Yi |Z i )/∂β and vi is a working variance of yi . By GEE theory, the variance of
β̂ can be consistently estimated by the robust sandwich estimator [15, 12].
Traditionally, mediation analysis considers a single mediator. However, methods for address-
ing multiple mediators have been developed [35]. For simplicity of presentation, we consider
in this paper the case of a single mediator M . First, consider the following conditional and
marginal mean models for Y , with respect to M

E(Y |X, M, W ) = g −1 (β0 + β1 X + β2 M + β T3 W ) (2)

−1 T
E(Y |X, W ) = g (β0? + β1? X + β ?3 W ). (3)

Let B = (β0 , β1 , β2 , β 3 ) and B ? = (β0? , β1? , β ?3 ) be the vectors of conditional and marginal regres-
sion model parameters, and denote B̂ and B̂ ? for their estimators obtained by solving equation
(1) under models (2) and (3), separately, respectively. When the two models (2) and (3) both
hold simultaneously, we say we have g-linkability.
Throughout this paper, we assume that, after adjusting for measured confounders, there is no
unmeasured confounding of the estimates of the exposure-outcome relationship, the mediator-
outcome relationship or the exposure-mediator relationship. We also assume that confounders
of the mediator-outcome relationship are unaffected by the exposure. Under these assumptions,
and when models (2) and (3) hold, the TE equals β1? and the NIE equals β1? − β1 , for the identity
and log link functions [19, 34], and if, in addition, the outcome is rare, this is also true for the
logit link function [36]. Therefore, the mediation proportion, p, which is the ratio between the
NIE and the TE, equals to
β ? − β1 β1
p= 1 ? = 1 − ?.
β1 β1
A necessary condition for M to be interpreted as a mediator is that p ∈ (0, 1]. The situation
where p = 0 corresponds to β1 = β1? , hence in this case M does not mediate the effect of X at
all. On the other hand, if p = 1 then the effect of X is fully mediated by M . Finally, if p ∈
/ [0, 1],
it is either that the NDE and NIE are in opposite directions or M is not a mediator at all, but

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a confounder. In this paper, we only consider the more common and more interpretable case,
where the NDE and the NIE are in the same direction. One can get a consistent estimate for p
by simply plugging in the appropriate estimator from each model. That is, p̂ = 1 − β̂β̂1? , where
1

β̂1 and β̂1? are the appropriate components of B̂ and B̂ ? . Under g-linkability, this estimator is
consistent by standard GEE theory and the general mapping theorem.
The question of mediation can also be investigated when the available data is survival data.
Lin et al. [16] considered this question for the Cox model in the context of the PTE. First, as
in [16], we define the following two models for the hazard function at time t, h(t), conditionally
and marginally, with respect to M

h(t|X, M, W ) = λ0 (t) exp(β0 + β1 X + β2 M + β T3 W )

T
h(t|X, W ) = λ?0 (t) exp(β0? + β1? X + β ?3 W ), (4)

where X, M and W are allowed to be time dependent and λ0 (t) and λ?0 (t) are baseline hazard
functions. The authors of [16] have shown that these two models cannot hold at same time.
Rt
However, they claimed that if either β ?3 or Λ?0 (t) = 0 λ?0 (s)ds are small, then model (4) is
a good approximation to the true conditional model. The assumption that Λ?0 (t) is small is
the rare outcome assumption. They confirmed this claim using a small scale simulation study.
When (4) holds, approximately, the Cox model is approximately g-linkable. Thus, in addition
to GLMs, we investigate in this paper estimation and inference for p in approximately g-linkable
Cox models.

3 Further results on g-linkability

In this section, we consider the issue of when the full model (2) and the marginal model (3) both
hold with the same function g exactly or approximately. Recall that g-linkability is sufficient
for ensuring that p̂, the point estimator of p, is consistent. This subject was also discussed
in the context of random effects models [27], in which the authors showed, for each common
statistical model, what random effect’s distribution would provide a g-linkable conditional mean
model condition on, and marginal over, the random effect. If g-linkability does not hold, then
p̂ converges to p 6= p. However, if g-linkability holds approximately, as in the case of logistic
regression under rare outcome assumption (see below, and [33]), then one may expect p to be
close to p, as discussed in [16] for the Cox model.
We consider the three common link functions: identity, log and logit. For each of these
functions we give a general condition for the distribution of M given X and W that ensures g-
linkability, where in the logit link function a rare outcome assumption is also needed. Numerous
detailed and practical examples that fulfill these conditions can be constructed. In practice,
the difference method does not require fitting of the mediator-exposure relationship model, as
noted by [13]. For the validity of the product method, however, this model has to be correctly
specified.

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3.1 Identity link function
Under the identity link function, models (2) and (3) simplify to

E(Y |X, M, W ) = β0 + β1 X + β2 M + β T3 W
T
E(Y |X, W ) = β0? + β1? X + β ?3 W .

We now show that g-linkability holds whenever E(M |X, W ) is a linear function of X and W .
To see that, let E(M |X, W ) = a + b1 X + bT3 W , for some a, b1 and b3 . Then,

T
E(Y |X, W ) = E(E(Y |X, M, W )|X, W ) = β0 +β1 X+β2 E(M |X, W )+β T3 W = β0? +β1? X+β ?3 W

where β0? = β0 + a, β1? = β1 + b1 and β ?3 = β 3 + b3 .

3.2 Log link function

Under the log link function, g(u) = log(u), the mean models become

E(Y |X, M, W ) = exp(β0 + β1 X + β2 M + β T3 W )

T
E(Y |X, W ) = exp(β0? + β1? X + β ?3 W )

and we have

E(Y |X, W ) = E(E(Y |X, M, W )|X, W ) = exp(β0 + β1 X + β T3 W ) × E[exp(β2 M )|X, W ].

Therefore, in the log link case, g−linkability holds if the log of the moment generating function
of M |X, W can be written as a linear function of X and W . That is, log E[exp(β2 M )|X, W ] =
T
a0 + b01 X + b03 W .

3.3 Logit link function

The issue of whether the logistic regression model holds for both the conditional and marginal
models has been discussed in the literature [27, 33, 13]. The logit link function, defined as
logit(p) = log(p/(1 − p)), is typically used when Y is binary. It is well known and readily seen
that when the outcome is rare, the logit function is similar to the log function. Thus, under
rare outcome scenario, one may expect that g-linkability holds approximately for the logit link
function, as is typical in many epidemiologic and public health studies [36]. We empirically
investigate the limits of the rare outcome assumption in Section 5.

4 Inference for the mediation proportion

For simplicity of presentation, we assume throughout this section that g-linkability holds. Then,
p̂ = 1 − β̂β̂1? , where β̂1 and β̂1? are the appropriate components of B̂ and B̂ ? defined in Section 2.
1
By the aforementioned GEE theory together with the general mapping theorem, this estimator
is consistent.
Confidence intervals for p were constructed in the past using either Fieller’s theorem or the
delta method [8, 16, 7]. Here, we consider the latter. As written in [16], by the delta method p̂

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has an asymptotic normal distribution with variance equals to

σβ̂2 β12 σβ̂2 ? β1 σβ̂1 ,β̂ ?

σp̂2 = 1
+ 1
−2 1
, (5)
(β1? )2 (β1? )4 (β1? )3

where
σβ̂2 = V ar(β̂1 ), σβ̂2 ? = V ar(β̂1? ) and σβ̂1 ,β̂ ? = Cov(β̂1 , β̂1? ).
1 1 1

While σβ̂2and σβ̂2 ?

can be consistently estimated using the robust sandwich estimator [12] for
1 1
each of the models (2) and (3) separately, it is not obvious how to estimate σβ̂1 ,β̂ ? , the covariance
1
of estimators obtained from two separate models. In Section 4.2, we propose a data duplication
algorithm to estimate this quantity.
Assume now we have estimates σ̂β̂2 , σ̂β̂2 ? and σ̂β̂1 ,β̂ ? for σβ̂2 , σβ̂2 ? and σβ̂1 ,β̂ ? , respectively.
1 1 1 1 1 1
These estimates are plugged in (5) in order to get an estimate σ̂p2 and a (1 − α) level confidence
interval for p may be obtained as
p̂ ± z1−α/2 σ̂p̂ (6)

with z1−α/2 being the appropriate quantile of the normal distribution. While this confidence
interval is asymptotically valid, in finite samples it may include negative values or values larger
than one. Since such values are outside the parameter space for p if M is indeed a mediator, values
outside the parameter space should be excluded. One option is to trim the resulting confidence
interval so it would be contained in [0, 1]. Alternatively, a logit-based confidence interval can be
constructed, using again the delta method, and then back-transformed the resulting confidence
interval to get a confidence interval which is, by definition, contained in [0, 1]. More formally,
p
let ψ = logit(p) = log( 1−p ) and let ψ̂ = logit(p̂). By the delta method, ψ̂ is consistent and
asymptotically normally distributed with variance

1
σψ̂2 = σ2 ,
p2 (1 − p)2 p̂

which can be estimated by plugging in p̂ and σ̂p2 in the above expression. Then, a (1 − α) level
confidence interval for the mediation proportion p is obtained as
     
exp ψ̂ − z1−α/2 σ̂ψ̂ exp ψ̂ + z1−α/2 σ̂ψ̂
  ,   (7)
1 + exp ψ̂ − z1−α/2 σ̂ψ̂ 1 + exp ψ̂ + z1−α/2 σ̂ψ̂

4.1 Hypothesis testing

Past authors concentrated on methods for testing that the mediation proportion is at least
some fraction f , with f typically being 0.5 or more [8, 16, 7]. In the context of PTE, where
the validation of intermediate biomarkers for outcome is of interest, this may be reasonable.
However, when considering a mediator, the more relevant question is whether M is indeed a
mediator. Then, the hypothesis is H0 : p = 0 vs. H1 : p > 0. Now, recall that p ∈ [0, 1]. Let
Zp = σp−1 p̂ be the scaled unconstrained estimate. By the delta method, the distribution of Zp
under the null converges to a standard normal distribution. Let Zp+ = max(0, Zp ) be that scaled
estimate, obtained by replacing the unconstrained p̂ by zero if p̂ is negative. By the general

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mapping theorem, we then have
(
1 c ≤ 0,
lim P (Zp+ ≥ c) →
n→∞ 1 − Φ(c) c > 0

where Φ is the cumulative distribution function of standard normal distribution and the p-value
for testing H0 : p = 0 vs. H1 : p > 0 equals to one if σ̂p−1 p̂ < 0 and to 1 − Φ(σ̂p−1 p̂) if p̂ > 0.
However, if the unconstrained p̂ is larger than one, then this is misleading. Indeed p maybe
larger than zero in this case, but p should not be interpreted as a mediation proportion, as noted
in [16]. In this case, M is not a mediator, but a confounder. This demonstrates the point that
the described test should not be used without first considering the unconstrained value of p̂, and
making sure it is within the parameter space [0, 1].
Consider the distribution of (Zp+ )2 = [max(0, Zp )]2 . This statistic equals to zero if Zp < 0,
which occurs with probability of 0.5 since Zp is a standard normal variable. Therefore, for any
nonnegative value c+ we have
√
P [(Zp+ )2 < c+ ] = P [Zp ≤ 0] + P [0 < Zp < c+ ] = 0.5 + 0.5P [Zp2 < c+ ] = 0.5 + 0.5P (χ2(1) < c+ )
√ √ √
since P [0 < Zp < c+ ] = 0.5P [− c+ < Zp < c+ ], where χ2(k) is a χ2 variable with k degrees
of freedom. Thus, the asymptotic distribution of (Zp+ )2 is a mixture of χ2(0) and χ2(1) random
variables, with mixture probability of 0.5, similar to what was previously shown [31].
An alternative test statistic is based upon a test for the difference between the effect estimates
in the marginal and the conditional models. That is, on dˆ = β̂1? − β̂1 . Under the assumptions
in this paper, dˆ is a consistent estimate for the NIE. A test statistic based on dˆ is based on
Zd = σd−1 ˆ
ˆ d, where
ˆ = σ 2 + σ 2 ? − 2σ
σd2ˆ = V ar(d) β̂ 1 β̂ 1
β̂1 ,β̂ ? .
1

Assume that β̂1? > 0. Similar to Zp+ , we define Zd+

= max(0, Zd ) and then the p-value of the
−1 ˆ
difference test is calculated as 1 − Φ(σ̂d d), if d > 0 and 1 otherwise. It is readily observed
that dˆ ∈ (0, β̂1? ] if and only if p̂ ∈ (0, 1]. Thus, one should treat a crude result of dˆ ∈ / (0, β̂1? ]
as he or she would have treated the situation p̂ ∈ / (0, 1]. Finally, if the coefficient in model (3)
corresponding to the effect of X is negative, then the p-value for the difference test is Φ(σ̂d−1 d) ˆ
ˆ
if d < 0 and zero otherwise.

4.2 The data duplication algorithm

A main challenge when conducting inference for the mediation proportion p is to estimate the
covariance of estimators obtained from the two models (2) and (3). It turns out that the
covariance between B̂ and B̂ ? can be estimated by fitting both models by stacking the estimating
equations for the two models using a data duplication algorithm. A similar method was presented
in [16] for the Cox model in survival data. Here, we extend it to GEE for GLMs. First, the
data are augmented with additional pseudo-variables and pseudo-observations. Each variable,
including the intercept, the exposure, the confounders, but not the mediator, appears twice, and
each of the original observations is included as two pseudo-observations in the new data set. See
Table 1 for an illustration of the duplicated data structure.

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 The following pseudo model is fitted to the duplicated data using GEE [15],

E(Yij |Xi , Xi? , Mi , W i , W ?i ) = g −1 (β0 I{j = 1}+β1 Xi +β2 Mi +β T3 W i +β0? I{j = 2}+β1? Xi? +β ?T ?
3 W i ),
(8)
where j = 1, 2 are the rows created from duplicating each observation and are treated as repeated
measures. Model (8) implies that we can write E(Yi1 |Xi , Xi? , Mi , W i , W ?i ) = E(Yi1 |Xi , Mi , W i )
and E(Yi2 |Xi , Xi? , Mi , W i , W ?i ) = E(Yi2 |Xi? , W ?i ). Let R be a 2 × 2 working correlation matrix
1/2 1/2
and denote B i = diag(vi1 , vi2 ), where vij = V ar(Yij ). Let also V i = B i RB i be a 2 × 2
working variance for the vector (Yi1 , Yi2 ). Here, the GEE are defined as

n
!
X yi1 − E(Yi1 |Xi , Mi , W i )
UGEE (B) = (Di , Di? )V −1
i , (9)
i=1
yi2 − E(Yi2 |Xi? , W ?i )

where Di = ∂E(Yi1 |Xi , Mi , W i )/∂B and Di? = ∂E(Yi2 |Xi? , W ?i )/∂B ? are two column vectors. If
R is taken to be the identity matrix, then V i = B i and (9) simplifies to the following estimating
equations

(1)
! Pn !
−1
UIEE (β) i=1 Di vi1 [yi − E(Yi1 |Xi , Mi , W i )]
UIEE (B) = (2) = Pn ? −1
= 0. (10)
UIEE (β ? ) ? ?
i=1 Di vi2 [yi − E(Yi2 |Xi , W i )]

Then, the estimating equations given by (10) are identical to the estimating equations for fitting
models (2) and (3) separately, because D i and vi and Z i in equation (1) are equal to Di , vi1
and (Xi , Mi , W i ), respectively, under model (2), and they are equal to Di? , vi2 and (Xi? , W ?i ),
respectively, under model (3). The major advantage of the data duplication algorithm is that
it provides an estimator for σβ1 ,β1? in a straightforward manner. Taking a working correlation
matrix other than the identity may result in more efficient estimators of B̂, but would not have
the desirable property that the duplicated data estimating equations are identical to the two
separate estimating equations from the two separate models.

5 Simulation study
In the simulation studies, we considered several issues regarding the performance of the method-
ology we presented throughout the paper. We first present results concerning g-linkability for
the logit link function and the Cox model. Then, we turn to the performance of the mediation
proportion estimator, studying its bias, the coverage rate of the accompanied confidence inter-
vals and the type I error and the power of the statistical tests described in Section 4. For the
generalized linear models, we used the GEE data duplication method as described in the previ-
ous section. For the Cox model, estimates were calculated using the data duplication method
suggested by Lin et al. [16].
Throughout these simulation studies, we assume that there are no confounders in the model.
X and!M were generated using a bivariate normal with mean (0, 0)T and covariance matrix
1 ρ
. Then, we have that β2 = ρp β1? for the identity, log and logit link functions (the latter
ρ 1
under the rare outcome assumption); see Web Appendix A. In these scenarios, g−linkability
holds for all three link functions. The estimation and inference procedures apply to any bivariate

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distribution of X and M that satisfies the simple moment conditions given in Section 3, and
here we used the bivariate normal distribution for generating the data merely for convenience.
The estimation and inference procedures do not use the bivariate normal distribution of (X, M ).

5.1 g-linkability for the logit link function and of the Cox model
In order to asses the magnitude of the bias when assuming g-linkability of the logit link function
and the Cox model, we conducted a simulation study under various conditions and inspected
the resulting bias in p̂, as estimated using the data duplication algorithm described in Section
4.2 while taking the working correlation matrix to be the identity. First we describe the logit
link function model. We simulate Y under the logistic regression model

logit(P (Y = 1|X, M )) = β0 + β1 X + β2 M.

We chose the model parameter values in the following way. First, we chose ρ = corr(X, M ), p
and β1? . Then, by definition we had β1 = (1 − p)β1? , and we took β2 as if g-linkability exactly
holds. That is, β2 = ρp β1? . Then, we fixed the unconditional case probability P (Y = 1) and
found the appropriate β0 value by solving for β0 in the equation

P (Y = 1) = E(expit(β0 + β1 X + β2 M )),

where expit(u) = exp(u)/(1+exp(u)). Finally, the sample size was given as n = E(Ncases )/P (Y =
1) where E(Ncases ) is number of expected cases. We considered the following values for the pa-
rameters. p = 0.1, 0.2, ..., 0.8; ρ = p, p+0.1, ..., 0.8, with ρ ≥ p to satisfy that β2 ≤ β1? or in words,
to ensure that the total effect of X is larger than effect of M ; β1? = log(1.25), log(1.5), log(2);
P (Y = 1) = 0.005, 0.01, 0.1, 0.25; E(Ncases ) = 100, 500, 1000. The number of simulation itera-
tions per scenario was 1000.
For the Cox model, we simulated the data similarly to the logit link function simulations.
First, we simulated X and M as before. Then, given fixed ρ, p and β1? , β2 = ρp β1? . We took a
Weibull distribution for the baseline hazard and used Exponential distribution for the censoring
(mean=50), with additional cutoff at age 90. Given the desired proportion number of cases in
the population, we used simulations to find the appropriate values for the Weibull distribution
shape parameter, while fixing the scale parameter at 200. As in the logit link case, we chose the
sample size as the number of expected cases (E(Ncases )) divided by the expected proportion of
cases (P (δ = 1)), where δ is the event indicator.
In order to assess g-linkability, and the finite sample performance of p̂, we calculated the
relative bias, defined as 100 × | mean(p p̂)−p |. Ideally, this quantity should be close to zero. We note
that bias may arise either because g-linkability fails to hold, or because of a sample size not large
enough. Figure 1 presents bias for β1? = log(1.5) as a function of the parameters. First, it is of
note that whenever the overall prevalence or cumulative incidence of Y was small, as in the rare
disease scenario, and the number of cases was sufficiently large, bias was minimal. Even when
the disease was not as rare, e.g., P (Y = 1) = 0.25, when there were enough cases, and when p
was large enough (e.g., p > 0.2 in this case), the bias was minimal. Considering the g-linkability
of the Cox model, presented for β1? = log(1.5) in Figure 2, the results were similar to the results
obtained for the logit link function. That is, when the outcome was rare (P (δ = 1) was small)

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then the corresponding marginal Cox model for the hazard function approximately holds and
the bias in mediation proportion estimation was minimal. Figures similar to Figures 1 and 2 are
presented for β1? = log(1.25), log(2) in Web Appendix B. The overall trends were similar.

5.2 Estimation and inference performance

For the Cox model and the logit link function, data were simulated as described above. For
the identity link function, data were simulated from the model Y = E(Y |X, M ) +  = β0 +
β1 X + β2 M + . As before, (X, M ) were simulated from a bivariate normal distribution with
zero mean, unit variance, and correlation ρ. The error, , was a vector of iid standard normal
random variables. We also considered other distributions for ; we will expand on this matter
later on. As in the logit link case, we fixed β1? , ρ, and p and took β1 = (1 − p)β1? and β2 = ρp β1? .
The intercept, β0 , was chosen arbitrarily to be equal to 2. We considered various values for β1? , p
and ρ, where as before we were only interested in scenarios where ρ ≥ p, since then β2 ≥ β1? .
We present results for β1? = 0.1, 0.3, 0.5, which imply multiple correlations between (X, M ) and
Y of about 0.1, 0.3 and 0.5, respectively.
Table 2 presents relative bias of p̂ and coverage rates of the trimmed version of the 95%
confidence intervals given by (6). The mediation proportion estimates exhibited unstable per-
formance whenever the sample size was low and the total effect of X, β1? , was small, regardless
of the magnitude of the mediation proportion. However, these problems disappeared when we
considered a larger sample size or a larger total effect of X. The results for the logit link function
and the Cox model in Table 2 are presented for the rare outcome case.
From estimation we move to hypothesis testing. The two test statistics compared were
described in Section 4.1, where the variance estimators used in the test statistics were obtained
by the data duplication algorithm described in Section 4.2. As previously discussed, both tests
used were one-sided since the mediation proportion is nonnegative. Since p must be in [0, 1] in
both cases, if p̂ was outside this interval we did not conducted the tests. The last column in
Table 2 gives the mean proportion of such simulations, where the mean is taken over the other
columns. The proportion of simulations with p̂ ∈ / [0, 1] was larger when the total effect of X and
the sample size were small. Results are presented in Table 3. In terms of type I error, both tests
were adequate, with a conservative type I error when the correlation between the exposure and
the mediator was low. When the total effect was low, the test based on dˆ had greater power,
usually by 5% − 10%, compared to the test based on p̂. The power of both tests was highly
affected by the effect size (β1? ) and the correlation between the exposure and the mediator (ρ).
High correlation between X and M decreased the power. The power of both tests was lower
when the total effect β1? is low. It should be noted that mediation analysis is performed only
after risk factor was found to be significant, which, in general, is less likely to happen if both β1?
and the sample size are low. We further address this point in Section 7.
We next consider the finite sample properties of the confidence intervals proposed in Section
4. We considered an untransformed confidence interval (6) as well as a logit transformation
based confidence interval (7). Table 4 compares these two options in terms of coverage rate and
confidence interval width. When the unconstrained point estimate was negative or larger than
one, i.e., p̂ ∈
/ [0, 1], a confidence interval was not constructed. Crude confidence intervals were
trimmed to be contained in [0, 1], while the logit transformation-based confidence intervals are
contained in [0, 1] by definition. Coverage rates were generally adequate. When ρ was much

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larger than p, neither of the methods produced confidence intervals with nominal coverage,
especially when the sample size was small. Comparing between the trimmed untransformed and
the transformed-based confidence intervals, the latter did not offer any clear advantage in terms
of performance. For small sample size, the transformation-based confidence interval tended to
be wider, especially for p = 0.1, without any substantial gain in terms of coverage rate. For a
larger sample size, the two confidence intervals were comparable in their performance.
Throughout this section, we presented in parallel results for the identity and logit link function
and the Cox model. There was a very strong agreement between the results for the logit link
function for binary data and the Cox model, as one may have expect given the close relationship
between the logistic regression model and the Cox model in epidemiology and public health
evaluations.
In addition to the scenarios we described above, we conducted simulations for the identity
link function with error distributions other than the normal one. We considered symmetric
distribution with tails heavier than the normal distribution as well as skewed distributions. As
predicted by GEE theory, the performance of the mediation proportion estimator, the statistical
tests and the confidence interval was only slightly changed. Details are given in Web Appendix
C.

6 Illustrative example
We illustrate the use of our methodology in the analysis of breast cancer data from the Nurses
Health’s Studies (NHS and NHSII) [3, 38]. It was previously found that high mammographic
density (MD) is a risk factor for breast cancer [22]. The goal here is to investigate whether,
and to what extent, the effects of more distal risk factors for pre-menopausal breast cancer
are mediated by high MD. Detailed description of this study is given in [26]. In this nested
case-control study, controls were matched to cases by current age, menopausal status, current
hormone use, month, time of day, fasting status and time of the day at blood collection and
luteal day (for NHSII samples only). There were 559 pre-menopausal cases and 1727 controls.
Since the disease is rare, and as shown in the previous section, g-linkability should hold. The
mediator is percent MD. We conducted mediation analysis for all breast cancer risk factors with
significant total effects: personal history of benign breast disease (HBBD), family history of
breast cancer (FH), adolescent somatotype (ASM), body mass index at age 18 (BMI18), age at
first birth (AFB), age at menarche (AM) and height (HT). Results were adjusted for current
age, fasting status, blood collection time of the day, mammography batch (NHS batch 1, NHS
batch 2 or NHSII), current BMI, BMI18, ASM, HBBD, parity, AFB, and AM, where mediation
was assessed separately for a number of these variables, where most of the others were treated
as confounders.
Table 5 presents the estimated mediation proportions, confidence intervals and p-values,
along with the estimated risk factor effects. Of note is that MD is significant as a mediator for
HBBD, ASM and BMI18, regardless whether the test was based on p̂ or d, ˆ although p-values
corresponding to the latter test were much smaller. Confidence intervals were quite wide for
ASM and BMI18. This may be due to the moderate sample size, and the relatively small effect.

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7 Discussion
In this paper, we have provided methodology for estimation and inference for the mediation
proportion in generalized linear models and the Cox model using the difference method. Our
methodology for GLMs uses a data duplication algorithm with GEE and allows for the consistent
estimation of the covariance of the estimates.
Strictly speaking, the validity of the difference method relies on the assumption that the
marginal model, the one that does not include the mediator, and the conditional model, the
one that does, hold simultaneously. To address this concern, researchers have suggested more
complicated methods, e.g, a Bayesian approach [5], and more recently, a nonparamteric method
[23]. However, we demonstrate in this paper that g-linkability with respect to the mean functions
ensures that the point estimator for the mediation proportion is consistent under standard
assumptions for the identity and log link functions and under a rare outcome assumption for
the logistic link function and Cox model. The rare outcome assumption is fulfilled in most
chronic disease incidence studies in epidemiology, including the one motivating the present work.
Furthermore, the estimator is asymptotically normally distributed with a variance that can be
consistently estimated using a robust sandwich estimator easily obtained by applying a data
duplicated GEE.
Despite its popularity, the difference method for estimating the mediation proportion has
been criticized due to what appeared to be undesirable finite samples properties [20, 7]. However,
when considering binary outcomes, the covariance (or correlation) between estimates from the
marginal and conditional models was typically estimated using approximations from the linear
model [9]. We have now developed methodology for a valid covariance estimator and showed
that testing for mediation using a test based on the difference yields a valid statistical test, even
in finite samples.
The causal structure and the underlying confounding assumptions are important to consider
when our methods are used in applications. Confounding may occur due to exposure-outcome
confounders or mediator-outcome confounders. We refer the readers to [34], and references
therein, for relevant discussions on assumptions needed and analysis conducted in order to avoid,
or at least minimize, potential bias due to confounding when conducting mediation analysis. The
difference method does not allow for mediator-exposure interaction, and alternative methods to
allow for this interaction were previously developed [33].
In practice, mediation analysis is often conducted for well-established exposures or risk fac-
tors, or when the total effect is significant. As suggested by our simulation results, when the
total effect was small, mediation analysis was less likely to provide adequate results. On the
other hand, an analysis that only considers significant total effects should take into account that
it was performed conditionally on the results of a first stage analysis. The properties of such
conditional inference can be considered in future research.
In our implementation of the GEE methodology, we propose to use the independence working
correlation matrix, which has the nice property of providing identical coefficient estimates when
fitting the two models separately and when using the data duplication algorithm, fitting them
together. Under other working correlation matrices, this property does not hold anymore, but
efficiency may be gained.
Our approach assumes that the underlying model is g-linkable, where the same link function

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holds for both the conditional model and the marginal model, where the latter is the model
without the mediator. We have shown that g-linkability holds for the identity and the log link
function when fairly general conditions are met. In addition, g-linkability holds for the logit
link function whenever the outcome is rare. When the outcome is not rare, one may fit the
log-binomial model instead, as noted in [33], which may be preferable anyway, as the odds ratio
is typically not the parameter of interest [32].
In conclusion, the general framework for mediation analysis in generalized linear models
developed in this paper along with the methodology established, will allow researchers to inves-
tigate mediation under various outcome scenarios and to quantify results based on rigorously
derived and empirically studied estimators and hypothesis tests.

Acknowledgments
This work was supported by National Institutes of Health grant DP1ES025459.

Appendix
One major goal of this paper is to produce statistical tools to be used in practice. The SAS macro
%mediate implements the data duplication algorithm and reports point and interval estimates for
the mediation proportion and the results for the mediation test using the difference method. It is
available on the last author’s website http://www.hsph.harvard.edu/donna-spiegelman/software/mediate.
Simulations were conducted using R code that can be obtained by request to the first author.
Both the SAS macro and the R code can be used for either GLMs or survival data analysis.

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Table 1: The augmented data used by the data duplication algorithm. For each original ob-
servation i, two rows j = 1, 2 are created. The duplicated data is used for the pseudo model
presented in (8).

i j Intercept Intercept? X X? M W W? Y
1 1 1 0 x1 0 m1 w1 0 y1
1 2 0 1 0 x1 0 0 w1 y1
2 1 1 0 x2 0 m2 w2 0 y2
2 2 0 1 0 x2 0 0 w2 y2
.. .. .. .. .. .. .. .. .. ..
. . . . . . . . . .

Pr(Y = 1) = 0.005 Pr(Y = 1) = 0.01 Pr(Y = 1) = 0.1 Pr(Y = 1) = 0.25

0.8

E(Ncases) = 100
0.6

0.4

0.2

0.8
relative bias

E(Ncases) = 500
<=1%
0.6
1%−5%
ρ

5%−10%
0.4 10%−25%
25%−50%
0.2 >=50%

0.8

E(Ncases) = 1000
0.6

0.4

0.2

0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8
p

Figure 1: Relative bias of the mediation proportion estimator under the logistic model as a function of
the mediation proportion (p), the correlation between the exposure and the mediator (ρ), the number of
expected cases (E(Ncases )) and the outcome rate (P (Y = 1)). The value of β1? was taken to be log(1.5).

Pr(δ = 1) = 0.005 Pr(δ = 1) = 0.01 Pr(δ = 1) = 0.1 Pr(δ = 1) = 0.25

0.8
E(Ncases) = 100

0.6

0.4

0.2

0.8
relative bias
E(Ncases) = 500

0.6 <=1%
1%−5%
ρ

5%−10%
0.4 10%−25%
25%−50%
0.2 >=50%

0.8
E(Ncases) = 1000

0.6

0.4

0.2

0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8 0.2 0.4 0.6 0.8
p

Figure 2: Relative bias of the mediation proportion estimator under the Cox model as a function of
the mediation proportion (p), the correlation between the exposure and the mediator (ρ), the number
of expected cases (E(Ncases )) and the event rate (P (δ = 1)). The value of β1? was taken to be log(1.5).

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Table 2: Relative bias in percentage of the mediation proportion estimator under the identity
and logit link functions and the Cox model. Coverage rates of 95% trimmed untransformed
confidence intervals are displayed in brackets. Nout is the mean proportion of simulations with
p̂ ∈
/ [0, 1], where the mean is taken over the rest of the columns.

Identity link function (Y ∼ N ormal)

n = 1000 n = 5000
β1? β1? Nout
0.1 0.3 0.5 0.1 0.3 0.5
p = 0.1 ρ = 0.1 15.3 (0.92) -0.1 (0.96) 2.3 (0.96) 3.1 (0.95) 0 (0.96) -1 (0.95) 0.0
ρ = 0.3 11.2 (0.83) 0.3 (0.94) -0.5 (0.94) 3.6 (0.95) -0.2 (0.95) -0.1 (0.94) 2.9
ρ = 0.5 23.9 (0.71) -5.1 (0.91) -1.3 (0.94) 1.5 (0.88) 2.6 (0.95) 0 (0.95) 7.9
ρ = 0.7 17.6 (0.6) 0.3 (0.78) 0.8 (0.93) 17 (0.78) -1.6 (0.96) -1.1 (0.94) 14.2
p = 0.3 ρ = 0.3 35.8 (0.92) 1.2 (0.95) 0.3 (0.95) 3 (0.96) 0.4 (0.95) 0.1 (0.94) 0.4
ρ = 0.5 22.3 (0.9) 1.4 (0.95) 0.7 (0.95) 0.9 (0.96) 0.4 (0.96) -0.5 (0.95) 1.4
ρ = 0.7 34.1 (0.76) -0.7 (0.94) -0.8 (0.94) 1.2 (0.96) 1.4 (0.94) 0 (0.94) 4.4
p = 0.5 ρ = 0.5 15.4 (0.86) 1.5 (0.95) 0.3 (0.95) 2.1 (0.96) 0.1 (0.95) 0.2 (0.95) 1.6
ρ = 0.7 14.8 (0.81) 0.5 (0.95) 0.4 (0.95) 2.5 (0.95) -0.2 (0.94) 0.2 (0.95) 3.0
Logit link function (Y ∼ Ber) with P (Y = 1) = 0.005
E(Ncases ) = 500 E(Ncases ) = 1000
β1? β1? Nout
log(1.25) log(1.5) log(2) log(1.25) log(1.5) log(2)
p = 0.1 ρ = 0.1 4.7 (0.94) -0.4 (0.95) -0.1 (0.95) -3 (0.92) -5.1 (0.9) -5.3 (0.86) 0.0
ρ = 0.3 5.1 (0.9) 2.9 (0.95) 1.1 (0.96) 2.7 (0.96) 0.5 (0.95) 0.3 (0.95) 0.9
ρ = 0.5 7.6 (0.77) 3.1 (0.93) -1.7 (0.96) 7.3 (0.87) -1.4 (0.95) 0.8 (0.96) 5.6
ρ = 0.7 2.6 (0.62) 6.8 (0.82) -1.1 (0.9) 3.3 (0.74) 0.3 (0.93) -0.6 (0.93) 14.3
p = 0.3 ρ = 0.3 7.5 (0.94) 0.8 (0.94) 0.5 (0.95) 0.5 (0.94) -1.2 (0.93) -1.0 (0.94) 0.0
ρ = 0.5 8.5 (0.95) 0.9 (0.95) 0.6 (0.95) 1.6 (0.96) 0.1 (0.96) 0.4 (0.94) 0.1
ρ = 0.7 5.9 (0.88) 2.2 (0.95) -0.4 (0.95) 6.5 (0.96) -0.8 (0.95) -0.7 (0.95) 1.3
p = 0.5 ρ = 0.5 9.2 (0.9) 1.1 (0.96) 0.9 (0.94) 1.5 (0.96) -0.4 (0.95) -0.1 (0.96) 0.2
ρ = 0.7 9.1 (0.88) 1.2 (0.96) 0.2 (0.94) 3.5 (0.96) 1.0 (0.95) 0.5 (0.96) 1.0
Cox model with P (δ = 1) = 0.005
E(Ncases ) = 500 E(Ncases ) = 1000
β1? β1? Nout
log(1.25) log(1.5) log(2) log(1.25) log(1.5) log(2)
p = 0.1 ρ = 0.1 6.9 (0.93) 0.5 (0.94) -1.1 (0.93) -5.5 (0.92) -7.3 (0.89) -7.4 (0.85) 0.0
ρ = 0.3 4.9 (0.9) 0.2 (0.95) -0.2 (0.94) 2.8 (0.96) -1.2 (0.95) -0.3 (0.96) 1.3
ρ = 0.5 0.7 (0.77) 0.0 (0.93) 2.6 (0.94) 5 (0.86) 1.3 (0.96) 1.5 (0.95) 6.2
ρ = 0.7 4.2 (0.65) -1.0 (0.81) 5.6 (0.88) 5.5 (0.74) 4.4 (0.92) -0.3 (0.94) 14.7
p = 0.3 ρ = 0.3 0.6 (0.93) 1.3 (0.95) 0.7 (0.97) -0.4 (0.94) -1.5 (0.94) -1.4 (0.95) 0.0
ρ = 0.5 5.7 (0.94) 1.3 (0.94) 0.7 (0.95) 2 (0.96) 0.5 (0.94) -0.6 (0.96) 0.1
ρ = 0.7 7.7 (0.89) 2.1 (0.94) -0.6 (0.96) 2.4 (0.94) -0.2 (0.96) -1.0 (0.95) 1.6
p = 0.5 ρ = 0.5 6.5 (0.91) 1.2 (0.96) 0.5 (0.96) 2.4 (0.95) -0.5 (0.94) -0.4 (0.96) 0.3
ρ = 0.7 0.7 (0.88) 1.3 (0.94) 0.2 (0.95) 2.4 (0.95) 0.6 (0.94) 0.6 (0.95) 0.8

17

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Table 3: Type I error and power for tests for mediation under the identity and logit link functions
and the Cox model.

Identity link function (Y ∼ N ormal)

n = 1000
β1? = 0.1 β1? = 0.3 β1? = 0.5
p̂ test d test p̂ test d test p̂ test dˆ test
ˆ ˆ
p = 0.0 ρ = 0.1 0.01 0.03 0.02 0.02 0.02 0.02
ρ = 0.3 0.03 0.06 0.04 0.04 0.05 0.05
ρ = 0.5 0.02 0.05 0.04 0.04 0.05 0.05
ρ = 0.7 0.02 0.04 0.04 0.05 0.04 0.04
p = 0.1 ρ = 0.1 0.55 0.79 0.95 0.94 0.96 0.95
ρ = 0.3 0.16 0.26 0.90 0.90 1.00 1.00
ρ = 0.5 0.08 0.15 0.46 0.47 0.85 0.85
ρ = 0.7 0.04 0.09 0.26 0.26 0.48 0.48
p = 0.2 ρ = 0.3 0.45 0.63 1.00 1.00 1.00 1.00
ρ = 0.5 0.17 0.27 0.93 0.93 1.00 1.00
ρ = 0.7 0.08 0.14 0.60 0.61 0.95 0.95
p = 0.3 ρ = 0.3 0.75 0.89 1.00 1.00 1.00 1.00
ρ = 0.5 0.32 0.47 1.00 1.00 1.00 1.00
ρ = 0.7 0.12 0.20 0.88 0.89 1.00 1.00
Logit link function (Y ∼ Ber) with P (Y = 1) = 0.005
E(Ncases ) = 500
β1? = log(1.25) β1? = log(1.5) β1? = log(2)
p̂ test dˆ test p̂ test dˆ test p̂ test dˆ test
p = 0.0 ρ = 0.1 0.03 0.04 0.03 0.04 0.04 0.04
ρ = 0.3 0.04 0.06 0.05 0.05 0.05 0.06
ρ = 0.5 0.03 0.05 0.04 0.05 0.05 0.05
ρ = 0.7 0.04 0.06 0.06 0.06 0.06 0.06
p = 0.1 ρ = 0.1 0.98 0.99 1.00 1.00 1.00 1.00
ρ = 0.3 0.29 0.37 0.90 0.90 0.99 1.00
ρ = 0.5 0.15 0.20 0.47 0.48 0.71 0.71
ρ = 0.7 0.09 0.12 0.24 0.25 0.34 0.35
p = 0.2 ρ = 0.3 0.78 0.84 1.00 1.00 1.00 1.00
ρ = 0.5 0.32 0.39 0.92 0.92 1.00 1.00
ρ = 0.7 0.14 0.18 0.58 0.59 0.83 0.84
p = 0.3 ρ = 0.3 0.97 0.99 1.00 1.00 1.00 1.00
ρ = 0.5 0.59 0.66 1.00 1.00 1.00 1.00
ρ = 0.7 0.24 0.31 0.88 0.89 0.99 0.99
Cox model with P (δ = 1) = 0.005
E(Ncases ) = 500
β1? = log(1.25) β1? = log(1.5) β1? = log(2)
p̂ test dˆ test p̂ test dˆ test p̂ test dˆ test
p = 0.0 ρ = 0.1 0.04 0.06 0.04 0.05 0.05 0.05
ρ = 0.3 0.04 0.06 0.05 0.05 0.05 0.06
ρ = 0.5 0.03 0.04 0.04 0.05 0.03 0.03
ρ = 0.7 0.03 0.05 0.04 0.05 0.04 0.04
p = 0.1 ρ = 0.1 0.95 0.99 1.00 1.00 1.00 1.00
ρ = 0.3 0.30 0.38 0.88 0.88 0.99 0.99
ρ = 0.5 0.12 0.17 0.45 0.46 0.71 0.72
ρ = 0.7 0.07 0.10 0.22 0.22 0.39 0.39
p = 0.2 ρ = 0.3 0.73 0.82 1.00 1.00 1.00 1.00
ρ = 0.5 0.30 0.37 0.92 0.93 1.00 1.00
ρ = 0.7 0.14 0.19 0.53 0.54 0.84 0.84
p = 0.3 ρ = 0.3 0.95 0.97 1.00 1.00 1.00 1.00
ρ = 0.5 0.60 0.67 1.00 1.00 1.00 1.00
ρ = 0.7 0.27 0.34 0.86 0.87 0.99 0.99

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Table 4: Coverage rates (CI-RATE) and lengths (CI-LEN) of trimmed untransformed and logit
transformed-based (Trans) confidence intervals for the mediation proportion under the identity
and logit link functions and the Cox model

Identity link function (Y ∼ N ormal)

n = 1000 n = 5000
β1? = 0.3 β1? = 0.5 β1? = 0.3 β1? = 0.5
Trim Trans Trim Trans Trim Trans Trim Trans
p = 0.1 ρ = 0.1 CI-RATE 0.96 0.96 0.95 0.94 0.95 0.96 0.95 0.95
CI-LEN 0.13 0.14 0.12 0.13 0.06 0.06 0.05 0.05
ρ = 0.3 CI-RATE 0.94 0.96 0.94 0.96 0.95 0.95 0.94 0.94
CI-LEN 0.14 0.16 0.09 0.09 0.06 0.06 0.04 0.04
ρ = 0.5 CI-RATE 0.91 0.88 0.94 0.95 0.95 0.95 0.95 0.95
CI-LEN 0.21 0.36 0.14 0.17 0.11 0.11 0.07 0.07
ρ = 0.7 CI-RATE 0.73 0.73 0.88 0.88 0.95 0.95 0.95 0.95
CI-LEN 0.33 0.55 0.21 0.35 0.17 0.23 0.11 0.11
p = 0.3 ρ = 0.3 CI-RATE 0.95 0.96 0.95 0.95 0.95 0.95 0.94 0.95
CI-LEN 0.20 0.20 0.14 0.14 0.09 0.09 0.06 0.06
ρ = 0.5 CI-RATE 0.95 0.97 0.95 0.95 0.95 0.95 0.95 0.95
CI-LEN 0.28 0.27 0.17 0.17 0.12 0.12 0.07 0.07
ρ = 0.7 CI-RATE 0.98 0.98 0.97 0.97 0.94 0.94 0.94 0.94
CI-LEN 0.42 0.42 0.26 0.25 0.19 0.19 0.11 0.11
p = 0.5 ρ = 0.5 CI-RATE 0.95 0.97 0.95 0.95 0.95 0.95 0.95 0.95
CI-LEN 0.33 0.32 0.20 0.20 0.14 0.14 0.09 0.09
ρ = 0.7 CI-RATE 0.98 0.98 0.96 0.96 0.95 0.95 0.95 0.95
CI-LEN 0.46 0.43 0.28 0.27 0.20 0.20 0.12 0.12
Logit link function (Y ∼ Ber) with P (Y = 1) = 0.005
E(Ncases ) = 500 E(Ncases ) = 1000
β1? = log(1.25) β1? = log(1.5) β1? = log(1.25) β1? = log(1.5)
Trim Trans Trim Trans Trim Trans Trim Trans
p = 0.1 ρ = 0.1 CI-RATE 0.95 0.96 0.94 0.98 0.95 0.96 0.95 0.95
CI-LEN 0.08 0.08 0.15 0.16 0.06 0.06 0.04 0.04
ρ = 0.3 CI-RATE 0.96 0.95 0.90 0.87 0.95 0.95 0.95 0.96
CI-LEN 0.18 0.24 0.29 0.48 0.14 0.16 0.10 0.10
ρ = 0.5 CI-RATE 0.88 0.82 0.77 0.72 0.93 0.89 0.96 0.93
CI-LEN 0.28 0.46 0.46 0.69 0.22 0.36 0.17 0.23
ρ = 0.7 CI-RATE 0.71 0.71 0.59 0.59 0.76 0.76 0.85 0.85
CI-LEN 0.44 0.69 0.72 0.86 0.35 0.58 0.25 0.45
p = 0.3 ρ = 0.3 CI-RATE 0.94 0.96 0.94 0.98 0.94 0.95 0.95 0.96
CI-LEN 0.25 0.25 0.45 0.43 0.18 0.18 0.13 0.13
ρ = 0.5 CI-RATE 0.96 0.99 0.95 0.97 0.95 0.97 0.95 0.96
CI-LEN 0.37 0.36 0.61 0.63 0.28 0.27 0.20 0.20
ρ = 0.7 CI-RATE 0.97 0.97 0.88 0.88 0.98 0.98 0.97 0.97
CI-LEN 0.55 0.58 0.79 0.83 0.44 0.44 0.31 0.30
p = 0.5 ρ = 0.5 CI-RATE 0.96 0.97 0.90 0.94 0.96 0.97 0.94 0.96
CI-LEN 0.44 0.42 0.67 0.63 0.31 0.30 0.23 0.22
ρ = 0.7 CI-RATE 0.99 0.99 0.91 0.91 0.98 0.98 0.97 0.97
CI-LEN 0.60 0.57 0.83 0.82 0.47 0.45 0.34 0.33
Cox model with P (δ = 1) = 0.005
E(Ncases ) = 500 E(Ncases ) = 1000
β1? = log(1.25) β1? = log(1.5) β1? = log(1.25) β1? = log(1.5)
Trim Trans Trim Trans Trim Trans Trim Trans
p = 0.1 ρ = 0.1 CI-RATE 0.94 0.95 0.93 0.98 0.94 0.96 0.93 0.94
CI-LEN 0.08 0.08 0.17 0.18 0.07 0.07 0.05 0.05
ρ = 0.3 CI-RATE 0.96 0.96 0.90 0.86 0.95 0.96 0.94 0.96
CI-LEN 0.18 0.24 0.29 0.48 0.14 0.16 0.10 0.11
ρ = 0.5 CI-RATE 0.88 0.82 0.77 0.73 0.93 0.89 0.94 0.92
CI-LEN 0.28 0.47 0.46 0.71 0.22 0.37 0.17 0.22
ρ = 0.7 CI-RATE 0.68 0.68 0.62 0.62 0.76 0.76 0.84 0.84
CI-LEN 0.44 0.68 0.73 0.86 0.34 0.59 0.26 0.43
p = 0.3 ρ = 0.3 CI-RATE 0.96 0.96 0.93 0.98 0.95 0.95 0.97 0.97
CI-LEN 0.26 0.25 0.47 0.44 0.20 0.19 0.14 0.14
ρ = 0.5 CI-RATE 0.96 0.99 0.94 0.98 0.94 0.97 0.95 0.96
CI-LEN 0.37 0.36 0.61 0.63 0.29 0.28 0.20 0.20
ρ = 0.7 CI-RATE 0.98 0.98 0.89 0.89 0.97 0.97 0.98 0.98
CI-LEN 0.54 0.57 0.78 0.82 0.45 0.45 0.31 0.31
p = 0.5 ρ = 0.5 CI-RATE 0.94 0.95 0.91 0.94 0.96 0.97 0.95 0.96
CI-LEN 0.44 0.42 0.69 0.64 0.34 0.33 0.24 0.23
ρ = 0.7 CI-RATE 0.99 0.99 0.90 0.90 0.98 0.98 0.97 0.97
CI-LEN 0.61 0.57 0.83 0.81 0.48 0.46 0.34 0.33

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 Table 5: Mediation analysis for pre-menopausal breast cancer incidence with mammographic density as the mediator in the NHS and NHSII studies (N =
559 cases and 1727 controls). When p̂ ∈
/ [0, 1], inference for the mediation proportion was not carried out. RR
ˆ total = exp(β̂ ? ), RR
ˆ direct = exp(β̂).

Risk factor β̂ ? (RR

ˆ total ) p-value β̂ (RR
ˆ direct ) p̂ CrudeCI95% TrimCI95% TransCI95% p-value, p̂ test p-value, dˆ test
Personal history of
benign breast 0.35 (1.42) < 0.001 0.25 (1.28) 0.30 0.10–0.51 0.10–0.51 0.14–0.53 0.002 < 10−6
disease
Family history of
0.42 (1.52) 0.01 0.42 (1.52) 0.004 -0.10–0.11 0.00–0.11 0.00–1.00 0.47 0.47
breast cancer
Adolescent
somatotype† Per 3 -0.34 (0.72) 0.02 -0.12 (0.88) 0.63 0.05–1.20 0.05–1.00 0.13–0.95 0.02 < 10−7
unit increase

20
BMI at age 18†
-0.23 (0.79) 0.02 -0.05 (0.95) 0.78 0.06–1.50 0.06–1.00 0.05–1.00 0.02 < 10−8
Per 5 unit increase
Age at first birth‡
0.15 (1.17) 0.03 0.15 (1.16) 0.03 -0.09–0.15 0.00–0.15 0.00–0.66 0.31 0.30
Per 5 year increase
Age at menarche
-0.16 (0.86) 0.03 -0.18 (0.84) N/A N/A N/A N/A N/A N/A
Per 2 year increase
Height Per 3 inch
0.13 (1.14) 0.03 0.14 (1.14) N/A N/A N/A N/A N/A N/A
increase
Adjusted for age, fasting status, blood collection time of the day, mammography batch (NHS batch 1, NHS batch 2 or NHSII), current and at age 18 BMI,
adolescent somatotype, history of BBD, parity, age at first birth, and age at menarche
† Not adjusted for adolescent somatotype, BMI, current or at age 18
‡ Among parous women only (478 cases, 1499 controls)

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