
I want to estimate a dynamic timeseries crosssectional spatial panel model using R. Specifically, I want to fit the following model (spatial lag model):
Y_t = y_{t1} + 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 timeperiods. 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?
