The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and strengths and the study of the spatiotemporal propagation of shocks in a system with a time-varying spatial multiplier matrix. The proposed model is applied to disaggregated CPI data from 15 EU countries to examine cross-price dependencies. The analysis identifies distinct connectivity structures and spatial weights across the states, which capture shifts in consumer behaviour, with marked cross-country differences in the spillover from one price category to another.

翻译：通过引入权重矩阵和空间自回归参数的马尔可夫切换动力学，对空间自回归(SAR)模型进行了扩展。该框架能够识别不同状态下的特定连接模式与强度，并研究具有时变空间乘子矩阵系统中冲击的时空传播过程。将所提模型应用于15个欧盟国家的分类CPI数据以考察交叉价格依赖性。分析识别出各状态间存在不同的连接结构和空间权重，这些差异反映了消费者行为的变化，且不同价格类别间的溢出效应呈现出显著的跨国异质性。