I think you can only stay under a sponsorship of either a company, Govt, or a person. you can buy a visa perhaps but this visa will also be from some1 or a company. It is unlike Saudia Arabia here. In KSa you can buy an independant visa and search for a job, once you are selected for a job, then you can give authorization to that company to take you under their sponsorship.

FAISAL MAHMOOD