Since SAS doesn't know which variables are 'categorical' you might look into the Proc freq NLEVELS option
ods select nlevels;
proc freq data=sashelp.class nlevels;
run;
As an example. The ODS SELECT option will have Proc Freq only display the NLEVELS table and not every single value of every single variable in the data set.
This shows the number of different values a variable has. In this case AGE, which is numeric, shows 6 values and might be considered "categorical". Name, which has 19 values in 19 records seems like less a "category" than "free text". Sex, character with 2 levels, likely would be a category.
The common meanings of the variable name in the SASHELP.CLASS data set may be sufficient but this technique may be helpful exploring a new data set.
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