One way is to use a list of ordinary 2d matrices. For example the code below creates a list of 3 4x4 matrices, then modifies two of them.
proc iml;
Z = ListCreate(3);
do i = 1 to 3;
Z$i = i(4);
end;
Z$2 = Z$2 + 1;
Z$3 = Z$3 # 3;
package load listutil;
call listprint(Z);
quit;
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