Macro to create dummy variables (non-missing values only)

createDummyVars.sas

/* 	Helper macro to make dummy variables
	Note: it is not robust for missing values
*/
%macro createDummyVars(dsin=, var=, newvar=);
  proc sql noprint;
    select distinct &var. into :mvals separated by '|'
    from &dsin.;
	/* Number of unique values */
    %let mdim=&sqlobs;
  quit;

  data &dsin.;
  set &dsin.;
  	/* Loop through #unique values */
    %do _i=1 %to &mdim.;
		/* Grab value */
      	%let _v = %scan(&mvals., &_i., |);
		/* Create dummies */
	  	&newvar.&_v. = (&var. eq &_v.);
    %end;
  run;
%mend;

/*	Create year and industry dummies */
%createDummyVars(dsin=da.b_funda, var=fyear, newvar=yr);
%createDummyVars(dsin=da.b_funda, var=sic2, newvar=ind);