  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.
