The 'panel' proc in SAS/ETS, PROC TSCSREG does not handle unbalanced panels.
So I don't recommend that. Instead, I would suggest that you model your
data using PROC VARMAX. Among other things, it *does* implement the Granger
Causality test, rather explicitly, using the CAUSAL statement. The next
iteration of SAS is supposed to have a new ETS proc for panel data, and that is
supposed to handle unbalanced panels, and do more with them. So that might be worth
looking into.

I think that you can specify your H matrix in the COINTEG statement of PROC
VARMAX. That should let you handle your panel data. But I'm just speculating
here, since I haven't sat down and figured it out. I suggest that you read
the SAS Online Documentation for PROC VARMAX and see all the things it can do
for you.

HTH,
David
--
David L. Cassell
mathematical statistician
Design Pathways
3115 NW Norwood Pl.
Corvallis OR 97330