https://blogs.sas.com/content/iml/2016/02/22/create-dummy-variables-in-sas.html
Many procedures output coded variables. You can then process the output data set to drop terms. Personally, I like transreg because 1) I wrote it, 2) it has nice names and labels for terms, and 3) it outputs a macro variable with all of the terms in the model.
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