Looping through a list of key values

[apolitical]

I'm sure it can be done without a loop, but when I tried the error says "The %DO statement is not valid in open code". I wouldn't mind hearing how to fix that.

[Reeza]

Well, if you want to use the method with a loop you have to use a macro.

My point was you don't need a loop in the first place.

In your method, you're creating small subsets and then exporting each individually. Usually in such a process you'll also need to clean up after and remove the datasets to prevent them from interfering with future processes and just hanging around. If you have a variable that has 100's of levels this just seems more cumbersome to me. 

ODS Excel does this automatically and you don't create subsets and no loops necessary, the last example provided did all of this already.