There's a few ways to achieve this. You could use DO loops to go through all of the years and months, and the MDY function to construct the date using the first of each month like so:
data want;
do y=2014 to 2022;
do m=1 to 12;
date=mdy(m,01,y);
output;
end;
end;
format date date9.;
run;
Alternatively, you could use the INTNX function to increment by one month from a chosen start date, and use a DO UNTIL loop to ensure you've reached your desired end date.
data want2;
date="01jan2014"d;
output;
do until (date>="01dec2022"d);
date = intnx("MONTH",date,1,"BEGINNING");
output;
end;
format date date9.;
run;