What you should do depends on what you would like to do. You only have to make sure that you leave out either the intercept or one dummy variable. One approach would be to keep the intercept, define A1=1 as base scenario. Then you would have: Intercept=1; leave out A1=spring(?); A2=1 if summer, 0 otherwise;A3=1 if autumn, 0 otherwise; A4=1 if winter, 0 otherwise ; B1=1 if NY, 0 otherwise, B2=1 if Chicago, 0 otherwise; ..
Your model for proc reg (y=dep. var) would be: y = A2--B4 .. ;
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