Creating 5 lags of about 100 variables

[VKG]

Thanks!

[Ksharp]

Here is the IML code . I believe it is going to be faster than John King(data _null_) 's code .

data have;
infile cards expandtabs truncover;
input X1	X2	X3	X4	X5;
cards;
1	11	21	31	41
2	12	22	32	42
3	13	23	33	43
4	14	24	34	44
5	15	25	35	45
6	16	26	36	46
7	17	27	37	47
8	18	28	38	48
9	19	29	39	49
;
run;

%let lag=5;
proc iml;
use have;
read all var _num_ into x[c=vnames]; 
close;  
varname=j(ncol(x),&lag,blankstr(nleng(vnames)+8));
do i=1 to &lag;
 varname[,i]=t(cats(vnames,'_',i));
end; 
varname=vnames||rowvec(varname); 

lag=j(nrow(x),&lag#ncol(x),.); 
idx=do(1,&lag#ncol(x),&lag); 
l=1:&lag;
do i=1 to ncol(idx);
 lag[,idx[i]:idx[i]+&lag-1]=lag(x[,i],l);
end;
want=x||lag;  
create want from want[c=varname];
append from want;
close;
quit;

[Ksharp · Accepted solution]

Here is the new Data Step code , also faster than John King(data _null_)'s code and no need to consider about if the variable like var1-var5 . It is applied to any variable name .

data have;
infile cards expandtabs truncover;
input X1	X2	X3	X4	X5;
cards;
1	11	21	31	41
2	12	22	32	42
3	13	23	33	43
4	14	24	34	44
5	15	25	35	45
6	16	26	36	46
7	17	27	37	47
8	18	28	38	48
9	19	29	39	49
;
run;

%let lag=5;

data x;
 do i=1 to &lag;
  output;
 end;
run;
proc transpose data=have(obs=0) out=temp;
var _all_;
run;
proc sql;
  select cats(_name_,'_',i,'=lag',i,'(',_name_,')') into : lag separated by ';'
   from temp,x ;
quit;
data want;
 set have;
 &lag ;
run;