In adition to the advice you've already gotten, consider whether you can use PROC GLMSELECT instead of PROC REG.
PROC GLMSELECT supports the
PERFORMANCE THREADS;
statement for parallel computation of BY-groups. The doc explains factors that contribute to enhanced or decreasesd performance. The PROC GLMSELECT is state-of-the-art and custom made for variable selection analysis.
I might be wrong, but I don't think PROC REG had parallel BY-group analysis in SAS 9.2. It did have multithreaded formation of the SSCP matrix, but since you have 250,000 BY groups, you probably want to distribute that computation as well.
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