# Fitting a spatial lag panel model with time-varying weight matrix (W) in R

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## Fitting a spatial lag panel model with time-varying weight matrix (W) in R

 I want to estimate a dynamic time-series cross-sectional spatial panel model using R. Specifically, I want to fit the following model (spatial lag model): Y_t = y_{t-1} + p **W_t** y_{t} + **X_t** \beta + e_t My spatial weight matrix W is defined through economic interlinkages and hence varies over the t time-periods. I have already defined t distinct matrices as listw objects. Is there any way to fit such a model in R, perhaps using the splm package?