Which statement is used to create a new dataset in SAS?

The DATA statement is utilized in SAS to create a new dataset. This statement initiates the data step, which is the primary method for creating and manipulating datasets within SAS. When a DATA statement is invoked, it defines a block of code where you can specify the new dataset's name and the operations to perform on existing data or define entirely new data.

In the context of the other options, the CREATE statement does not exist in SAS as a method for dataset creation, while the SET statement is used to read data from an existing dataset into the current data step, rather than creating a new one. The BUILD statement is also not a valid statement in SAS for dataset creation. Therefore, using the DATA statement is the correct approach for generating a new dataset in the SAS programming environment.