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The SASECRSP Interface Engine

The SAS Output Data Set

You can use the SAS DATA step to write the selected CRSP or Compustat data to a SAS data set. This enables you to easily analyze the data using SAS. When you specify the name of the output data set on the DATA statement, it causes the engine supervisor to create a SAS data set using the specified name in either the SAS WORK library or, if specified, the USER library.

The contents of the SAS data set include the DATE of each observation, the series name of each series read from the CRSPAccess database, event variables, and the label or description of each series/event or array.

You can use PROC PRINT and PROC CONTENTS to print your output data set and its contents. Alternatively, you can view your SAS output observations by opening the desired output data set in the SAS Explorer. You can also use PROC SQL with your SASECRSP libref to create a custom view of your data.

In general, CRSP missing values are represented as ‘.’ in the SAS data set. When accessing the CRSP STOCK data, SASECRSP uses the mapping shown in Table 33.6 for converting CRSP missing values into SAS missing codes.

Table 33.6 Mapping of CRSP Stock Missing Values to SAS Missing Codes

CRSP Stock





No valid price



Out of range






No valid previous price



No delisting information



No valid comparison for an excess return

When accessing the CCM database, CRSP uses certain Compustat missing codes which SASECRSP then converts into SAS missing codes. Table 33.7 shows the mapping of Compustat missing codes for the CCM database.

Table 33.7 Mapping of Compustat and SAS Missing Codes






No data for data item



Data is only on a semi-annual basis



Data is only on an annual basis



Combined into other item



Data is not meaningful



Reported as insignificant

Missing value codes conform with Compustat’s Strategic Insight and binary conventions for missing values. See Notes on Missing Values in the second chapter of the CRSP/Compustat Merged Database Guide for more information about how CRSP handles Compustat missing codes.

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