This paper proposes a model for estimating the underlying cross-sectional dependence structure of a large panel of time series. Technical difficulties meant such a structure is usually assumed before further analysis. We propose to estimate this by penalizing the elements in the spatial weight matrices using the adaptive LASSO proposed by Zou (2006). Non-asymptotic oracle inequalities and the asymptotic sign consistency of the estimators are proved when the dimension of the time series can be larger than the sample size, and they tend to infinity jointly. Asymptotic normality of the LASSO/adaptive LASSO estimator for the model regression parameter is also presented. All the proofs involve non-standard analysis of LASSO/adaptive LASSO estimators, since our model, albeit like a standard regression, always has the response vector as one of the covariates. A block coordinate descent algorithm is introduced, with simulations and a real data analysis carried out to demonstrate the performance of our estimators.