I ran a mediation analysis with two mediators (M1 and M2) using lavaan and I am somehow confused about the results:
Direct Effect: The total direct effect of X on Y is not significant. X is, however, significantly related to M1 and M1 is significantly related to Y. As for M2, no significant direct relationships are observed.
Indirect Effect: The indirect effect of X on Y through M1 is not significant. The same also applies to M2.
Total Indirect Effect: When adding the two indirect effects, a significant result is shown. How is that possible?
Total Effect: The total effect is not significant.
I am mostly confused about the Total Indirect Effect. How can it be significant when the two indirect effects are not?
It might be useful to add that I let M1 and M2 covary. Could this serve as an explanation?