I have dynamic panel data (countries=27 and t=21) with dependent variable (Y) and the independent variables of X1, X2, X3 and the lagged dependent variable. The independent variables have an impact on Y a year later.

The estimating regression will then look as follows:

Yt = aYt-1 + bXit-1 + ct+ dt +et, where c, d and e are the country specific effects, time dummies and unobserved eeror term respectively.

Is it possible to include the lagged effect in a system-GMM estimator?