The input data set used by the TSCSREG procedure must be sorted by cross section and by time within each cross section. Therefore, the first step in using PROC TSCSREG is to make sure that the input data set is sorted. Normally, the input data set contains a variable that identifies the cross section for each observation and a variable that identifies the time period for each observation.

To illustrate, suppose that you have a data set A that contains data over time for each of several states. You want to regress the variable Y on regressors X1 and X2. Cross sections are identified by the variable STATE, and time periods are identified by the variable DATE. The following statements sort the data set A appropriately:

   proc sort data=a;
      by state date;
   run;

The next step is to invoke the TSCSREG procedure and specify the cross section and time series variables in an ID statement. List the variables in the ID statement exactly as they are listed in the BY statement.

   proc tscsreg data=a;
      id state date;

Alternatively, you can omit the ID statement and use the CS= and TS= options on the PROC TSCSREG statement to specify the number of cross sections in the data set and the number of time series observations in each cross section.