Efficiency is dependent on input (that you described), on the target (what do you wand to do / analyze / report)
and on resources you have (like disk space, memory available);
Another issue - is your data already in SAS tables or in external data (CSV or text or DataBase and if DB - what kind)
All those have effect on programming code.
Even after getting information, as above, there maybe several ways to do the work efficiently.
If possible, describe what variables are in each file kind.
Meanwhile I understand that you have 2 kinds of data:
1) a table of firms in each state (variables: FIRMID, STATENAME)
2) employment data in (11 years X 4 quarters X number of states) files.
What are the names of those files - are they in a common format ?
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