Does it make sense to test whether the effect of X on Y is mediated by M if X and M are not significantly correlated?
And what if M and Y are not significantly correlated either?
I know that according to Baron and Kenny's approach, it wouldn't make sense, but I also read that this approach is not state of the art any more and some of their preconditions (e.g. One needs to establish that X is related to Y in order to carry out mediation) are actually not true.
Thanks a lot!