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Calcite | Level 5

Hi there,

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?


proc mixed data = mydata;

class country year;

model my model year/ solution;

random country;



proc panel 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.
Jade | Level 19

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).

The hash OUTPUT method will overwrite a SAS data set, but not append. That can be costly. Consider voting for Add a HASH object method which would append a hash object to an existing SAS data set

Would enabling PROC SORT to simultaneously output multiple datasets be useful? Then vote for
Allow PROC SORT to output multiple datasets




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