I want to perform a mediation analysis in the context of ESEM (specifically, ESEM-within-CFA). My understanding of my dataset was that I must include the cross-loadings between all variables in the model; when I fit an ESEM, the correlation among variables is much lower.
However, In the Handbook of Structural Equation Modeling, Morin states:
"When cross-loadings need to be included, they should only be included across constructs located at the same position in the predictive model under investigation… . Incorporating cross-loading between variables located at different stages of a theoretical "causal" chain would create a paradoxical nonrecursive situation in which the same indicator would define two constructs specified as predictive one another."
I understand that the same component of variance in an indicator cannot be attributed to two constructs in a causal chain, but I have difficulty understanding why different components of variance in one indicator cannot be attributed to two such constructs. For instance, scores on the item "I laugh easily" (a NEO item from the Extraversion factor) have reflections from individuals' Extraversion trait. But Depression may also reflect in how one answers to this item, without any relation to one’s Extraversion (random life events may lead to a good mood). Then in a predictive model, I assume, if I ignore this cross-loading, it will overestimate the predictive power of Extraversion on Depression.
Am I missing something here? Should I include the cross-loadings between these variables in such a situation?
Thank you,
Ali