Hi,

I'm using spxtregress, fe to fit a model with a spatial lag of the dependent variable. I would like to add time fixed effects, but the model does not allow to do that.

The manual says that
"The i.year dummies are not allowed because spxtregress, fe assumes individual fixed effects only, as specified in section 2 of Lee and Yu (2010a)."
Reading the paper by Lee and Yu (2010a), there are other data transformations that allow for that. Does anybody knows if there is a way of handling this directly with the command, or I'll need to the the transformations on my own?

thannks,
Matías


Lee, L.-F., and J. Yu. 2010a. Estimation of spatial autoregressive panel data models with fixed effects. Journal of Econometrics 154: 165–185. https://doi.org/10.1016/j.jeconom.2009.08.001.