De la documentación:DECLARE is permitted only inside a BEGIN ... END compound statement and must be at its start, before any other statements.
Actualizar
Aquí hay algo más cerca. Deberá ordenar la sintaxis para CONVERT
que es diferente en MySQL.
DELIMITER $$
CREATE PROCEDURE test()
BEGIN
DECLARE dateInsert DATETIME;
SET dateInsert = '1900-01-01';
WHILE dateInsert < '2100-01-01' DO
BEGIN
INSERT INTO DateLookup
(
DateKey, DateFull, FullYear,
QuarterNumber, WeekNumber, WeekDayName,
MonthDay, MonthName, YearDay,
DateDefinition,
CharacterDate,
WeekDay,
MonthNumber
)
SELECT
CONVERT(VARCHAR(8), dateInsert, 112), dateInsert, YEAR(@Date),
DATEPART(qq, dateInsert), DATEPART(ww, dateInsert), DATENAME(dw, dateInsert),
DATEPART(dd, dateInsert), DATENAME(mm, dateInsert), DATEPART(dy,@Date),
DATENAME(mm, dateInsert) + ' ' + CAST(DATEPART(dd, dateInsert) AS CHAR(2)) + ',
' + CAST(DATEPART(yy, dateInsert) AS CHAR(4)),
CONVERT(VARCHAR(10), dateInsert, 101),
DATEPART(dw, dateInsert),
DATEPART(mm, dateInsert)
SET dateInsert = DATEADD(dd, 1, dateInsert)
END
END WHILE;
END $$