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The most common problem in writing macros is doing too some of the real work prematurely--while expanding the macro, rather than in the expansion itself. For instance, one real package had this nmacro definition:
| (defmacro my-set-buffer-multibyte (arg)
  (if (fboundp 'set-buffer-multibyte)
      (set-buffer-multibyte arg)))
 | 
With this erroneous macro definition, the program worked fine when
interpreted but failed when compiled.  This macro definition called
set-buffer-multibyte during compilation, which was wrong, and
then did nothing when the compiled package was run.  The definition
that the programmer really wanted was this:
| (defmacro my-set-buffer-multibyte (arg)
  (if (fboundp 'set-buffer-multibyte)
      `(set-buffer-multibyte ,arg)))
 | 
This macro expands, if appropriate, into a call to
set-buffer-multibyte that will be executed when the compiled
program is actually run.