Does anybody have experience with a distributed lag model for a panel dataset? I'm getting this odd result where I'm trying a bunch of different lag lengths and no matter what I run the two longest lags have much bigger coefficients than the rest. So when I run with six lags, five and six have big coefficients but when I run with sixteen lags fifteen and sixteen do. I feel like this has to indicate something about the data structure and the model - it can't be real to always show that no matter what the lag length. I'm just not sure what it indicates.
If it matters - I'm looking at size of apprenticeship programs in an unbalanced panel with lags of the unemployment rate. No lags of the dependent variable.