%macro test;
     %let string=a*b*c*d;
     %let i=1;

     %do %while(%scan(&string,&i,*) ne );
         %let char=%scan(&string,&i,*);
         %put char &i: &char;
                 %let i=%eval(&i+1);
     %end;      
%mend;

%test

感谢1楼朋友的回复，您的code在data步可以，但是问题是如果在宏中就出错。
比如：
%macro test;
data _null_;
            %do i='a','b','c','d';
                    %put "i= &i";
            %end;      
    run;
%mend;

错误信息：ERROR: Expected %TO not found in %DO statement.  A dummy macro will be compiled.
请问如何解决？

Others already gives you some solutions.

Here is a way to get the job done in a different angle. It has many other usages


15 data _null_;
16 array charv[30] $1 _temporary_ ('a', 'b', 'c', 'd','e', '0');
WARNING: Partial value initialization of the array charv.
17 do i=1 to dim(charv);
18
19 if charv=' ' then leave;
20 put i= charv=;
21
22 end;
23 run;
i=1 charv[1]=a
i=2 charv[2]=b
i=3 charv[3]=c
i=4 charv[4]=d
i=5 charv[5]=e
i=6 charv[6]=0
NOTE: DATA statement used (Total process time):
real time 0.01 seconds
cpu time 0.01 seconds