data test;                                                                                                                             
input days: yymmdd10. return;                                                                                                          
format days yymmdd10.;                                                                                                                 
cards;                                                                                                                                 
19260102    0.001533742                                                                                                                
19260104    -0.004594181                                                                                                               
19260105    0.001538462                                                                                                                
19260106    0.002304148                                                                                                                
19260107    0.009578544                                                                                                                
19260108    0.020113852                                                                                                                
19260109    0.017485119                                                                                                                
19260111    -0.001462523                                                                                                               
19260112    0.015378982                                                                                                                
19260113    -0.016227912                                                                                                               
19260114    -0.008797654                                                                                                               
19260115    -0.008505917                                                                                                               
19260116    0.001118986                                                                                                                
19260118    0.000745157                                                                                                                
;                                                                                                                                      
run;                                                                                                                                   
proc sort;                                                                                                                             
      by days;                                                                                                                         
run;                                                                                                                                   
                                                                                                                                       
data test1;                                                                                                                            
      set test;                                                                                                                        
      lr=log(return+1);clr+lr;                                                                                                         
      weeks=intck('week','02jan1926'd,days)+1;                                                                                         
                                                                                                                                       
run;                                                                                                                                   
                                                                                                                                       
data test2(keep=days weeks wr);                                                                                                        
      set test1;                                                                                                                       
      index=last.weeks;                                                                                                                
            by weeks;                                                                                                                  
        if index=1;                                                                                                                    
      dif=dif(clr);                                                                                                                    
      if dif=. then wr=clr;                                                                                                            
      else wr=dif;                                                                                                                     
      wr=exp(wr)-1;                                                                                                                    
run;                                                                                                                                   
                                                                                                                                       
proc print data=test2;                                                                                                                 
run;

非常感谢这位兄台