If the records are physically grouped by  msa_code_all/sic2/auditor_key, then this is a forward rolling window, where the window size varies, depending on the yearend and previousyear values.   I ran this double DOW, which should be faster and take less disk space.  The ouput was identical to the SQL program  output (with the OP's revised boundaries, and the equality constraints I mentioned elsewhere).   If you expect more than 20 records in a given BY group, then increase the array sizes.    data want2; array yr{20}; array prvyr{20}; array sumfrq {20}; do rec=1 to 20; sumfrq{rec}=0; end; do rec=1 by 1 until (last.auditor_key); set have; by msa_code_all sic2 auditor_key notsorted; yr{rec}=yearend; prvyr{rec}= previousyear; do J=rec to 1 by -1 while (prvyr{J}<yr{rec}<=yr{J}); sumfrq{J}=sumfrq{J}+_freq_; end; end; do rec=1 by 1 until (last.auditor_key); set have; by msa_code_all sic2 auditor_key notsorted; newvar2=sumfrq{rec}; output; end; drop rec yr: prvyr: sumfrq: J ; run;   ... View more

48229 is a moderate size dataset... it shouldn't take forever to process. One problem might come from the combination of the left join and the ABS function. When there is no record on the right side of the join, i.e. when only one gvkey is present for a given sic2 and fyear, b.roa is missing and computing ABS(a.roa-b.roa) generates a note to the LOG. You could try avoiding those with the changes: proc sql; create table comp3 as select a.gvkey, a.sic2, a.fyear, a.roa, a.r, case b.roa when . then . else abs(a.roa-b.roa) end as diff_roa, (a.r-b.r) as pamjone from DAPAMJ_1 as a left join DAPAMJ_1 as b on a.sic2=b.sic2 and a.fyear=b.fyear and a.gvkey^=b.gvkey group by a.gvkey, a.fyear, a.sic2 having (a.roa-b.roa)**2 = min((a.roa-b.roa)**2); quit; PG ... View more

If you data is presorted by ID fcast, data have; input id$ (fcast dcast) (:mmddyy10.); format fcast dcast mmddyy10.; cards; A 12/31/2001          10/18/2001 A 12/31/2001          11/15/2001 A 12/31/2001          12/20/2001 A 12/31/2002          11/14/2002 A 12/31/2002          12/19/2002 ; data want; update have(obs=0) have; by id fcast; run; Haikuo ... View more