I have panel data for a large number of firms and wanted to do cointegration testing on these. However, due to use of daily data, there are some dates where the data is missing for some/all variables. I have tried using Stata but it does not work with missing data (data with gaps). I therefore wanted to ask if SAS can do cointegration analysis with missing data. I searched the net/SAS discussion forums and was unable to get an answer to it.