CLASS variables;
The CLASS statement names the classification variables to be used in the analysis. Classification variables can be either character or numeric.
In PROC AUTOREG, the CLASS statement enables you to output classification variables to a data set that contains a copy of the original data.
Class levels are determined from the formatted values of the CLASS variables. Thus, you can use formats to group values into levels. For more information, see the discussion of the FORMAT procedure in Base SAS Procedures Guide.