had lost and lost are both OK, but simply 'lost' is more common as the sequence of events is clear with just Simple Past.
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tamguatlayThe policeman asked the lady, "Where did you lose your bag?"Reported the sentence? No. That's not a report of the sentence above. A report is
I have reported the sentence as follows:
The lady told the policemen that she lost had / lost her bag in the Prime Supermarket.