This example creates a series of 12 dates. The series contains the last day of every month in 1996 and is created in the range A1:A12 on Sheet1.
Set dateRange = Worksheets("Sheet1").Range("A1:A12")
Worksheets("Sheet1").Range("A1").Formula = "31-JAN-1996"
dateRange.DataSeries Type:=xlChronological, Date:=xlMonth