Hi,

I have unbalanced panel data. I have observations for several thousand firms for 229 time periods, but not all the firms have data for all the time periods. Say my dataset looks like:

FirmID Time Return A 1 1.2 A 2 1.3 A 3 2.4 A 4 1.7 B 1 4.3 B 2 4.9 B 3 4.5 B 4 4.0 I want to create new columns in my dataset where is Return(t-1) will have one preiod lagged return and return (t-1) will have two period lagged return and so on and so forth for 12 lags for each firm. I tthink we need to use a loop for each firm, so that the lagged returns are for each firm.

The dataset I want will look like the following:

FirmID Time Return return(t-1) return(t-2) A 1 1.2 . . A 2 1.3 1.2 . A 3 2.4 1.3 1.2 A 4 1.7 2.4 1.3 B 1 4.3 . . B 2 4.9 4.3 . B 3 4.5 4.9 4.3 B 4 4.0 4.5 4.9

Please let me know what sas code I should use for this purpose. Thanks, Sonia Afroz

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