We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

We present direct evidence of information spillovers through transactions prices in real estate markets. This behavior is not explained by common shocks to housing values. The effect is strongest in homogenous markets, where the information content of price is higher. The effect is weakest among...