One more item to add to your study list.  This code will generate the wrong result: if dif(fyearq)=1 then do; lagadj=lag(ajexq); lageps_p=lag(epspxq);lageps_d=lag(epsfxq); lagshr_p=lag(cshprq);lagshr_d=lag(cshfdq);lagspiq=lag(spiq); end; if first.gvkey then do; lageps_d=.;lagadj=.; lageps_p=.; lagshr_p=.;lagshr_d=.;lagspiq=.;end; The LAG function should (almost always) execute on every observation if you want accurate results.  This would be an improvement: lagadj=lag(ajexq); lageps_p=lag(epspxq);lageps_d=lag(epsfxq); lagshr_p=lag(cshprq);lagshr_d=lag(cshfdq);lagspiq=lag(spiq); if first.gvkey or dif(fyear1) ne 1 then do; lageps_d=.;lagadj=.; lageps_p=.; lagshr_p=.;lagshr_d=.;lagspiq=.;end; ... View more