Assume program activities affect short-term outcome “confidence”, that mediates the effect on the long-term outcome happiness, what are some of the questions of mediation I can think of?

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In such an analysis, at least 4 relationships should be measured:
1) Does the program increase confidence?
2) Does confidence increase happiness?
3) Does the program have direct effect on happiness?
4) Does the program have indirect effect on happiness through confidence?
If you figure out the direction and magnitude of these relationships, you can have a clearer understanding of the “process”.