You can use the cmovave transformation operation in PROC EXPAND:
proc expand data=have out=want;
by zone;
id time;
convert demand = avg / transform=(cmovave 3);
run;
If you want a pure DATA step approach, you can calculate a lag and lead, then divide. Attached is a program that will let you calculate leads efficiently.
%lead(data=have, out=have_lead, var=demand, by=zone);
data want;
set have_lead;
by zone time;
lag1_demand = lag(demand);
/* Calculate the denominator and do not set lags for the first value of zone */
if(first.zone) then do;
n = 1;
lag1_demand = .;
end;
else n = 3 - nmiss(lag1_demand, lead1_demand);
avg = sum(demand, lag1_demand, lead1_demand)/n;
drop lag1_demand lead1_demand n;
run;
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