Linear Regression to study the mediating effect of a var

Hi everyone,

I have received a new statistics piece of work: I am asked to study
the mediating role of a variable X on a variable Y. The analysis that
is suggested to me is the "Hierarchical Linear Regression Analysis". I
do not know that topic and that particularl analysis because I am
trained as a mathematical statistician. I would be grateful if
somebody could indicate to me how to run that Linear Regression in
order to study the mediating effect of X.

I greatly appreciate your help and/or pointers.

.

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