A format is one way to create groups without having to add variables to data set. Assuming your "season" variable has values of 1 to 12 and is numeric since you say season is month valued something like this:
proc format;
value season_4grp
1,2,3 = '1'
4,5,6 = '2'
7,8,9 = '3'
10,11,12='4'
;
run;
and then add the statement to use the format:
Format season season_4grp. ;
to the model code. The season variable will then be grouped with results on the format. If the months are 1=January to 12=December you might want to group them such as 12,1,2 = 'Winter' 3,4,5='Spring' etc. One nice thing about the format approach is you can create a number of formats and only change the applied format to get different grouping. You decide that 3 groups of 4 makes more sense, or even having different numbers of months in the groups. You could even have a group of month = 9,10, 3,4 for "cool weather" compared to month 5,6,7,8 for "hot".
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