st: FW: Mediation with endogenous mediator and endogenous independent variables

["A.M. Aranda Gutierrez" <A.M.Aranda@uvt.nl>]

Dear Statalisters,

I have a question regarding the interpretation of mediation models when using Stata's ivregress command. I am estimating a mediation model with 2 independent variables, 1 mediator, and 1 dependent variable. Both the mediator and the independent variables are endogenous. Following  the paper titled "Testing for Mediating Variables in Management Research: Concerns, Implications, and Alternative Strategies" [Shaver (2005), Journal of Management] I'm using the 2sls estimator. Now, the problem is that I need to know the impact of the independent variables on the mediator in order to check the 2nd condition for mediation which states that the independent variables have to have an impact on the mediator. However, when using the ivregress command Stata reports the first stage results with the endogenous variables regressed on the exogenous variables. In other words, the first stage reports three regressions: 2 for the independent variables and 1 for the mediator, but from the output!
  it is not possible to assess the impact of the independent variables (which are endogenous) on the mediator. Hence, my question is, how can I estimate a mediation model when both the independent variables and the mediator are endogenous?

Thanks for your consideration.

Best regards,

Ana

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/