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; run; or proc panel data = mydata; id country year; model my model/HAC ranone; run; Thanks, Sohel Reference: 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.
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