A penalized instrumental-variable estimator for dynamic spatial autoregressive models with multiple, time-varying spatial weight matrices is shown to have oracle properties and to give consistent change point detection.
The final estimator is selected from the three results with the smallest estimation error
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Inference on Dynamic Spatial Autoregressive Models with Change Point Detection
A penalized instrumental-variable estimator for dynamic spatial autoregressive models with multiple, time-varying spatial weight matrices is shown to have oracle properties and to give consistent change point detection.