In this paper we review the methods for SAS ® users to write their own functions. These methods include SAS macro, SAS/IML, SAS Component Language (SCL), and two recently available procedures: PROC FCMP and PROC PROTO. We give examples showing how to make user functions using each method. The computation time of different methods is investigated. The pros and cons of each method are summarized, which can give SAS users basic ideas about choosing the appropriate method according to their own purposes
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