Well, I don't really know what the "regression" part is, am not a statistician, so can't help there. Call execute is used to generate code, it won't speed anything up for you. You will still need to select your data, then run your procedure on it. If it is taking a long time, then consider subsetting, or aggregating your data first. I.e.
data test_block1;
set total (where=(id=1));
run;
proc reg...
data test_block2;
...
...
Call execute can be used to generate the code per row of your data, but all that means is there will be a vast amount of code all running quickly, rather than a small bit of code running slowly, which will probably end up being more or less the same. SAS procedures and datasteps are optimised, so the more grouping you can do and in the fewer datasteps the better, using datastep rather than SQL might also reduced the resource usage.
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