这个很简单。using SAS in financial research中专门一章讲event study的就有专门的sample code。

用merge然后减一下。先给个能用的，没技术含量的……
___________________________________________

data a;
        input stkcd $6. +1 date yymmdd10. return;
        format date yymmdd10.;
        cards;
000001 2005-01-01 0.01
000001 2005-01-02 0.005
;

run;

data b;
        input stkcd $6. +1 cdate yymmdd10.;
        format cdate yymmdd10.;
        cards;
000001 2005-09-11
000002 2006-01-02
;
run;

proc sql;
        create table c as
        select a.stkcd as a_stkcd, b.stkcd as b_stkcd, date, return, cdate, cdate-date as day
        from a,b
        where a.stkcd = b.stkcd;
quit;

data rst;
        set c;
        if day>=60 and day<=260;
run;
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求助大神
在sql的时候，
        where a.stkcd = b.stkcd and  day>=60 and day<=260 ;
这个语句不行，有没有高人有其它办法。

day is calculated variable; the condition day < 60 and day >=260 is one condition; so try this one

where a.stkcd = b.stkcd and (calculated day>60 and calculated day<=260) ;

proc sql;
        create table c as
        select a.stkcd as a_stkcd, b.stkcd as b_stkcd, date, return, cdate, cdate-date as day
        from a,b
        where a.stkcd = b.stkcd and calculated day >= 60 and calculated day <= 260;
quit;


或者

proc sql;
        create table c as
        select a.stkcd as a_stkcd, b.stkcd as b_stkcd, date, return, cdate, cdate-date as day
        from a,b
        where a.stkcd = b.stkcd and cdate-date >= 60 and cdate-date <= 260;
quit;

多谢楼上两位解答