Time to download and install the Process macro for SPSS. Get it ** here **. Then install it as a "custom dialog" in the SPSS menu system.
To install PROCESS as a custom dialog into the SPSS menus, install process.spd (a dialog builder file available from www.processmacro.org) from the Utilities or Extensions menu (depending on your version of SPSS). Administrative access to the machine on which PROCESS is being installed is required when using a Windows operating system, and you must execute SPSS as an administrator to install a custom dialog file. Once successfully installed, PROCESS will appear as a new menu item in SPSS nested under Analyze → Regression (though this location may change with new releases of SPSS). If you do not have administrative access, contact your local information technology specialist for assistance in setting up administrative access to the machine on which you wish to install PROCESS.
Topics
Introduction to regression-based mediation analysis.
Theoretical models of X --> M --> Y
Inconsistent mediation and suppression effects
Performing Baron and Kenny, the Sobel test, and Preacher & Hayes
Mediation versus indirect effects -- do we need X --> Y
Distinguishing between mediation and common cause
Using the PROCESS macro
Readings
Baron, R. M., & Kenny, D. A. (1986). The moderator–mediator variable distinction in social psychological research: Conceptual, strategic, and statistical considerations. Journal of personality and social psychology, 51(6), 1173. [pdf]
Hayes, A. F. (2013). Introduction to mediation, moderation, and conditional process analysis. New York: The Guilford Press. Chapter 1 [pdf]
UCLA. Introduction to Mediation Models with the PROCESS Macro in SPSS. (but note silly use of age as mediator)
Handouts
Kenny handout on testing mediation. [html]
Optional Readings
Zhao, Lynch, and Chen (JCR 2010) -- Reconsidering Baron and Kenny: Myths and Truths About Mediation Analysis [^pdf]
Hayes, Andrew F.. Introduction to Mediation, Moderation, and Conditional Process Analysis: A Regression-Based Approach (Methodology in the Social Sciences Series) (p. 252). Guilford Publications. Kindle Edition. [this is a really good book]
Datasets
Class notes