Do you mean the task "Regression Analysis of Panel Data"? I'm not a time series expert, but my limited experience is that yes, you usually need the data in a "narrow" form for a lot of the time series stuff. Someone else may provide a definitive answer, or you might consider cross-posting this on the Forecasting forum (http://support.sas.com/forums/forum.jspa?forumID=28). If you post there, I'd mention the procedure is TSCSREG.
Tech support could also provide an answer if you need:
http://support.sas.com/techsup/contact/