st: Spatial VAR with time component

[Samuel Bailey <smbailey1@uchicago.edu>]

Hello,

I have panel data of labor market variables for about 300 cities per
quarter. I'd like to do a spatial autoregression similar to what i
think --spreg-- does, but including a lagged version of the dependent
variable as well, plus exogenous variables that change over time. In
the end, I'd like to be able to estimate the coefficients of

Y_(t+1) = (I-aW)^(-1)(pY_t + bX_(t+1) + e_(t+1)),

where Y is the dependent variable, W the weighing matrix, X exogenous
variables and e the error term.

I've been able to create a weighing matrix for each quarter and then
use --spreg-- for a given quarter, but haven't found a simple way to
also make use of the lagged terms over all times. Is there such a way?

(As a side note, not every quarter has data for every city. Right now
I'm planning to just delete cities that don't appear in all times, but
if someone knows a way to get around it that would also be
appreciated.)

Sincerely,
Sam Bailey
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