data set1; input firmid year month vol; datalines; 1 1990 03 10 1 1990 06 20 1 1990 09 15 2 1990 03 18 ; run; data set2; input firmid year month return; datalines; 1 1990 01 0.2 1 1990 02 0.2 1 1990 03 0.5 2 1990 01 0.1 ; run; proc sql; select a.*, b.vol from set2 a left join set1 b on a.firmid=b.firmid and a.year=b.year and a.month=b.month ; quit;
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