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The Stata package medsem provides a post-estimation command testing mediational hypotheses using Baron and Kenny's (1986) approach modified by Iacobucci et al. (2007) as well as an alternative approach proposed by Zhao et al. (2010) after estimating the concerned mediational model with the built-in sem command of Stata. The primary benefit of medsem is that it can contribute to conducting a proper and complete mediational analysis based on even very complex models (including observed and/or latent variables and with multiple mediators) due to the simultaneous estimation capability of structural equation modelling (SEM) technique.
Mehmet Mehmetoglu (Tue,) studied this question.