Alex, Came across this in the Procedures forum, and answered there. Here is the gist of what I said: You might try: proc mixed noclprint covtest; class firm industry year; model profit = year/solution ddfm=bw; random intercept/sub=firm; random intercept/sub=industry; repeated year/sub=firm*industry type=ar(1); run; However, this may be too computationally intense for PROC MIXED. If you have access to PROC HPMIXED, it may be the tool of choice. Steve Denham
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