Thank you, Rick. I do see a performance improvement of ~15% in real-time. The dummy variables I was estimating were fixed effects at a week level (51 coefficients), now I've chosen to include quarter fixed effects instead of week to get quick convergence. The improved code works super fine. Thank you for all your inputs. ... View more

This is exactly what I needed. Thank you, Rick! ... View more

I did not do step 2 for the entire data. Below are the numbers for a sample of 10 unique groups -  1. Original problem took ~90 seconds 2. Using uniqueby reduces the time to ~65 seconds (I am sorting outside proc iml) 3. Vectorizing the inner loop reduces time to ~0.12 seconds   That is very COOL! Thank you, Rick. ... View more

Thank you, Rick. In light of this suggestion, we could put the submit/endsubmit thread to rest.  In the previous post, I use the native SAS IML module to compute the objective function. Any suggestions on improving it would be very helpful.    ... View more