Oh yeas it was pretty straight forward after all. The outputting remained somewhat unclear for me but I realized another solution to the problem: I initialized matrix with width = number of firms, length = length of output vector (residuals in this case) and replaced the columns in this vector with real residuals in the do-loop: proc iml; use kirjasto.dax30h09v4; read all var{RIC} into c;    /*reading class variables, firm id's*/ firm=unique(c); res_matrix=j(2226,ncol(firm),1); do i = 1 to ncol(firm); read all where(RIC=(firm)); run preregres (volume, high, low, close); run Regress; res_matrix[,i]=resid; end; create kirjasto.residuals from res_matrix [colname=firm]; append from res_matrix; ... View more

Thank you! That REMOVE was what I was looking for, even though I just ended up removing t'th solutions of the inner functions ue and le from summations: start mhatx2(m,p,h,pi,e); t5=j(m,1);                  do x=1 to nrow(p); i=T(1:m); temp1=x-i; ue=Kmod(temp1,h,pi,e)#p; le=Kmod(temp1,h,pi,e); t5 =(sum(ue)-ue )/(sum(le)-le ); end; return (t5); finish; ... View more

That indeed does the trick, and also enlightens how to use a loop, thanks! ... View more