>>Why can't I use this statement?
set filter to grant_nbr=substr(grant_nbr,1,1) ="N" .or. substr(grant_nbr,3,1) ="C" .or. substr(grant_nbr,3,1)="J" .or. substr(grant_nbr,3,1)="L"
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In addition to what was said, if you don't have indexes on substr(grant_nbr,1,1) or on substr(grant_nbr,3,1) the filter (as stated) will not be rushmore optimized.