This question comes up a lot, and most of the answers are: "don't create a dummy variable yourself to do this".
Use PROC GLM, which will create the dummy variable for you when you use the CLASS statement, and fit the regression line.
You specific code fails because the values have a capital letter, and so your test in the IF statement also needs a capital letter.
if gen='Male' then dummy=0;
else if gen='Female' then dummy=1;
But really, don't create the dummy variables yourself.
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Paige Miller