newbie question

hi all,
I need to know if it is possible to create a data set from scratch (no matter how inefficient it is) to contain the days of a given month as date9.
So, my data set would have one variable (myDate) and as many observations as days in the respective month. All that without using datalines, infile, cards, ...
I tried to do this by looping into a macro and appending to a base data set - it's not working because I guess I still don't know exactly what I am doing there.
Thanks,
kowalsky