Most of the time you can take the API call, post it in a browser URL bar and get the response. Make sure that works first and then verify that PROC HTTP works. FYI - I used it last week so it definitely works as intended.
Another check, make sure your version of SAS supports what you're trying to do but I think PROC HTTP is pretty old. This is unlikely...but if you're not sure post your SAS version (i.e. 9.4 TS1M4)
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