A simple SQL will do it if a data set is small. The first solution is slight better.

Both solutions involve a Cartesian product join which will cause a performance issue if the data set has more than 10 thousands  rows. If this is a case, a more efficient way will be a data step.


data tmp;
/*   do date='1jan1980'd to '31jan2014'd;*/
   do date='1jan2014'd to '31jan2014'd;
      if ranuni(123)>0.3 then output;
        end;
        format date yymmdd10.;
run;


proc sql;
  create table tmp2 as
  select a.date , b.date as date2
  from tmp a join tmp b on (b.date=a.date or b.date=a.date+1 or b.date=a.date+2)
  group by 1
  having count(a.date)=3
  order by 1,2
  ;
  quit;

proc sql;
  create table tmp2 as
  select a.date , b.date as date2
  from tmp a , tmp b
  where 0<=(b.date-a.date)<=2
  group by 1
  having count(a.date)=3
  order by 1,2
  ;
  quit;