Hi,

Estimating by system GMM and treating the variable of interest as exogenous, without including the lagged of the variable of interest, the estimated coefficient of the variable of interest is about 0.025 (p<0.01). All variables are transformed to natural logarithms. Including the first lag of the variable of interest give a coefficient for the level of -0.925 (p<0.01) and a coefficient for the lag of 0.896 (p<0.01). The long run effect is therefore very similar to the level coefficient without including the lag (0.029 compared to 0.025).

Should I be concerned by the drastic difference between the level and the lag coefficient?

Thanks in advance.