Dear malakaext,
Since I can't observe the lag operator in your expression, I'll try to explain you the usage of lag function in general.
x = lagN(varname); - this will produce the value of 'varname' on a step t - N.
So y = x(t-1) will be
y = lag1(x);
y = x(t-3) will be
y = lag3(x);
etc.
Notice: consider reading help about lag function and using it in conditional statements.
The example:
X(t) = (1/((1-X(t-1))**0.4))* e;
data Xmodel;
var t X e;
do t = 1 to 1000;
e = rand('NORMAL', 0, 1);
X =( 1/( (1 - coalesce(lag1(X),0))**0.4 ) ) * e ;
output;
end;
run;