Good day! I am not an expert in that field, but I suppose Soviets wrote some nice pages on that:

Article Conditions of formation of lanthanum and samarium nitrides

A wet-chemical synthesis (in water solutions) of nitrides of rare earths is absolutely not possible. Only thermochemical formation of nitrides of the rare earths would be possible, but not from oxides but from metals or other compounds (hydrides, halides and others). Because rare earth oxides are thermodynamically more stable than nitrides, a direct oxide-nitride transformation is not possible.

Start from metallic lanthanides or halides or some organic salt. It is very difficult to prepare nitride, phosphide or chalcogenides from the corresponding oxide, as rare-earth sesquioxides are very stable at ambient due to high reactivity with oxygen.