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

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

Dear J,

Thank you for your reply. The model looks like this:

ivregress dep.var exogenous_variables (endogenous_indep._var1 endogenous_indep_var2 mediator = instruments), first r so, ivregress y c (x1 x2 m = z1 z2 z3), first r

Thus, the first stage output shows three regressions:

x1 = z1 z2 z3 c (the endogenous_indep._var1 on the instruments and controls)
x2 = z1 z2 z3 c (the endogenous_indep._var2 on the instruments and controls) m = z1 z2 z3 c (the mediator on the instruments and controls)

Now, I need to know the impact of the independent variables on the mediator in order to be able to test the second condition for mediation. However, with the current specification this is not possible. Therefore, I'd like to know if there is a way in which I can instrument both the independent variables and the mediators and still be able to calculate the impact of the former on the latter. I hope it is clear now, please let me know if you have any other questions. I really appreciate your help!

Best,

Ana

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