1.使用我一开始的做法确实不太好；
2.如果使用SEM 可以得到你想要的结果，其允许对多个回归路径的大小进行统计检验，称为似然比检验。

非常感谢，是可行的。

另外 在researchgate上得到的一个回答也很有建设性意义，最后我是根据他的回答用stata做了multivariate regression。后测用WALD test. 因为比较简单方便。

大家遇到类似的问题，也可以用SEM做。

下面附上回答：
Dear Fan,

 First of all, what is the statistical question you would like to answer?

There is nothing in data that forces us to think a certain way. It is the other way around.

Now, if the interest in your 4 DVs are separate - as is, you plan to look at all of the relationships between IV and each DV on its own because these represent meaningful and important answers to you - then you can use 4 univariate tests for this. 

If your interest is in whether their is a joint effect (across all 4 DVs but you are indifferent to which) or you wish to compare the coefficients across DVs then a multivariate test might be useful. SPSS can only handle multivariate regression within the MANOVA command which is why you were getting that advice. MANOVA does have a number of assumptions and requirements. GLLMMs can handle much of what MANOVA cannot.

What about SEM, PLS, and other alternatives? You have a very simple situation so unless you have a highly complicated hypothesis you probably don't need either one. That said, they can tell you about the pattern of relationships between IV and all 4 DVs just as the MANOVA

Consider going to a good site with examples (e.g. http://www.ats.ucla.edu/stat/dae/ )

to see if you can make up your mind a little bt about what you want to know.

Good luck.