The LAG and ZLAG functions do not work in programing statements in PROC NLP.

If you are using the LAG or ZLAG function on an input variable, you can instead create a new variable in your input data that is the LAG or ZLAG of the variable of interest.

If you are using the LAG or ZLAG function on a decision variable, there is no circumvention to this problem in PROC NLP. However, you may be able to use PROC MODEL in SAS/ETS to solve your problem.