The user had a production job that regularly produced output.
After modifying the code by adding header statements, nothing changed, but no errors were produced either.
Perplexed, the syntax of the HDR statements was checked and rechecked to verify it was valid.
So what was the problem?
There was a WRITE, but no PRINT statement in the user's code.
A WRITE statement writes to an output file, where a PRINT is used for reports.
Under the section Page Header Modification in the Reference Guide, point 2 specifies:
Page headings are not printed until the first PRINT statement is executed.
So there was no error, but since there was no report to associate with the headers, no action was taken on them.