I am trying to check for random cross section effects by dropping a cross section at a time as done in Engle and Rangel (2008): Table 9.
Do I use the proc mixed to make the period fixed and country random or just use the proc panel with ranone? Also, I don't know how Engle and Rangel (2008) found autocorrelation coefficient in Table 9 for panel specification.
Could anyone help, please?
procmixed data = mydata;
class country year;
model my model year/ solution;
procpanel data = mydata;
id country year;
model my model/HAC ranone;
Engle, R.F. and Rangel, J.G., 2008. The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The Review of Financial Studies, 21(3), pp.1187-1222.
I'm not familiar with proc panel or proc mixed. BUT ...
... I don't see why YEAR is a class variable, which makes it no different than, say color. Shouldn't you allow year to be a continuous variable? Which I believe is the only way to get autocorrelation (assuming you - and Engle and Rangel - mean serial autocorrelation).
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