出来抛个砖，希望对楼主有帮助
data raw;
input code year money;
cards;
000005        1992        1
000005        1994        1
000005        1995        1
000005        1996        1
;
run;

data dummy;
do code=000005;
do year=1992 to 1996;
   money=0;
        output;
   end;
end;
run;

proc sort data=raw;
        by code year;
run;

proc sort data=dummy;
        by code year;
run;

data final;
        merge dummy raw        ;
    by         code year;
run;

感谢playmore大侠多次提醒，Proc  Timeseries  很是简单。

data test (drop=y);
input StockID $ y Code;
year = mdy(1,1,y);
datalines;
000005        1992        1
000005        1994        1
000005        1995        1
000005        1996        1
000006        1991        1
000006        1995        1
; run;

proc timeseries data=test out=Test_Fill;
    by StockID;
    ID year interval = year;
        var code / setmiss=0;
run;
proc print data=test_filled; title 'test_fill'; run;

运行你的代码，产生的数据集是想要的，但是log窗口是如下的warning，不知道有没好的办法去掉这些warning，还望不吝赐教，谢谢！
WARNING: 1 observations have been omitted before observation number 2 in data set WORK.TEST according
         to the INTERVAL=YEAR specification and the ID variable values. The current ID is year=12419,
         the previous is year=11688.
NOTE: The above message was for the following BY group:
      StockID=000005
WARNING: 3 observations have been omitted before observation number 6 in data set WORK.TEST according
         to the INTERVAL=YEAR specification and the ID variable values. The current ID is year=12784,
         the previous is year=11323.

这些warning 说的是在第几个观测值有几个缺矢值。
觉得是proc timeseries 给出的 警告。

查了一下， sas 只能suppress error.  不能 suppress warning

详细请见
http://support.sas.com/kb/24/487.html

喔，谢了，不过感觉用系统的option强制性关闭warning的显示没啥意义