The SASECRSP Interface Engine: Understanding CRSP Date Formats, Informats, and Functions

The SASECRSP Interface Engine

Understanding CRSP Date Formats, Informats, and Functions

CRSP has historically used two different methods to represent dates, while SAS has used a third. The three formats are SAS dates, CRSP dates, and integer dates. The SASECRSP engine provides 23 functions, 15 informats, and 10 formats to enable you to easily translate the dates from one internal representation to another. A SASECRSP LIBNAME assign must be active to use these date access methods. See Example 35.6, "Converting Dates Using the CRSP Date Functions."

SAS dates are stored internally as the number of days since January 1, 1960. The SAS method is an industry standard and provides a great deal of flexibility, including a wide variety of informats, formats, and functions.

CRSP dates are designed to ease time series storage and access. Internally, the dates are stored as an offset into an array of trading days or trading day calendar. Note that there are five different CRSP trading day calendars: Annual, Quarterly, Monthly, Weekly, and Daily. In this sense, there are five different types of CRSP dates, one for each frequency of calendar it references. The CRSP method provides fewer missing values and makes trading period calculations very easy. However, there are also many valid calendar dates that are not available in the CRSP trading calendars, and care must be taken when using other dates.

Integer dates are a way to represent dates that are platform independent and maintain the correct sort order. However, the distance between dates is not maintained.

The best way to illustrate these formats is with some sample data. Table 35.8 shows date representations for CRSP daily and monthly data.

Table 35.8 Date Representations for Daily and Monthly Data
Date	SAS Date	CRSP Date	CRSP Date	Integer Date
		(Daily)	(Monthly)
July 31, 1962	942	21	440	19620731
August 31, 1962	973	44	441	19620831
Dec. 30, 1998	14,243	9190	NA*	19981230
Dec. 31, 1998	14,244	9191	877	19981231
* Not available if an exact match is requested.

Having an understanding of the internal differences in representing SAS dates, CRSP dates, and CRSP integer dates helps you use the SASECRSP formats, informats, and functions effectively. Always keep in mind the frequency of the CRSP calendar that you are accessing when you specify a CRSP date.

The CRSP Date Formats

There are two types of formats for CRSP dates, and five frequencies are available for each of the two types. The two types are exact dates (CRSPDT*) and range dates (CRSPDR*), where the '*' can be A for annual, Q for quarterly, M for monthly, W for weekly, or D for daily. The ten types are: CRSPDTA, CRSPDTQ, CRSPDTM, CRSPDTW, CRSPDTD, CRSPDRA, CRSPDRQ, CRSPDRM, CRSPDRW, and CRSPDRD.

Table 35.9 shows some samples that use the monthly and daily calendar as examples. The Annual (CRSPDTA and CRSPDRA), Quarterly (CRSPDTQ and CRSPDRQ), and the Weekly (CRSPDTW and CRSPDRW) formats work analogously.

Table 35.9 Sample CRSPDT Formats for Daily and Monthly Data
	CRSP Date	CRSPDTD	CRSPDRD	CRSPDTM	CRSPDRM
Date	Daily, Monthly	Daily Date	Daily Range	Monthly Date	Monthly Range
July 31,1962	21, 440	19620731	19620731 +	19620731	19620630, 19620731
August 31,1962	44, 441	19620831	19620831 +	19620831	19620801, 19620831
Dec. 30,1998	9190, NA *	19981230	19981230 +	NA*	NA*
Dec. 31,1998	9191, 877	19981231	19981231 +	19981231	19981201, 19981231
+ Daily ranges look similar to Monthly Ranges if they are Mondays or immediately following a trading holiday.
* When working with exact matches, no CRSP monthly date exists for December 30, 1998.

The @CRSP Date Informats

There are three types of informats for CRSP dates, and five frequencies are available for each of the three types. The three types are exact (@CRSPDT*), range (@CRSPDR*), and backward (@CRSPDB*) dates, where the '*' can be A for annual, Q for quarterly, M for monthly, W for weekly, or D for daily. The fifteen formats are: @CRSPDTA, @CRSPDTQ, @CRSPDTM, @CRSPDTW, @CRSPDTD, @CRSPDRA, @CRSPDRQ, @CRSPDRM, @CRSPDRW, @CRSPDRD, @CRSPDBA, @CRSPDBQ, @CRSPDBM, @CRSPDBW, and @CRSPDBD.

The five CRSPDT* informats find exact matches only. The five CRSPDR* informats look for an exact match, and if an exact match is not found, they go forward, matching the CRSPDR* formats. The five CRSPDB* informats look for an exact match, and if an exact match is not found, they go backward.

Table 35.10 shows a sample that uses only the CRSP monthly calendar as an example. The daily, weekly, quarterly, and annual frequencies work analogously.

Table 35.10 Sample @CRSP Date Informats Using Monthly Data
Input Date	CRSP Date	CRSP Date	CRSP Date	CRSPDTM	CRSPDRM
(Integer Date)	CRSPDTM	CRSPDRM	CRSPDBM	Monthly Date	Monthly Range
19620731	440	440	440	19620731	19620630 to 19620731
19620815	.(missing)	441	440	See below+	See below*
19620831	441	441	441	19620831	19620801 to 19620831
+ If missing, then missing. If 441, then 19620831. If 440, then 19620731.
* If missing, then missing. If 441, then 19620801 to 19620831. If 440, then 19620630 to 19620731.

The CRSP Date Functions

Table 35.11 shows the 23 date functions provided with the SASECRSP engine. These functions are used internally by the engine, but also are available to the end users. There are seven groups of functions. The first four have five functions each, one for each CRSP calendar frequency. The next two are for converting between SAS and Integer date formats. The last function does not convert between formats, but is a shifting function for shifting integer dates based on a fiscal calendar to normal calendar time. In this shift function, the second argument holds the fiscal year-end month of the fiscal calendar used.

Table 35.11 CRSP Date Functions
CRSP dates to integer dates for December 31, 1998
Function	Function	Argument	Argument	Return
Group	Name	One	Two	Value
Annual	crspdcia	74	None	19981231
Quarterly	crspdciq	293	None	19981231
Monthly	crspdcim	877	None	19981231
Weekly	crspdciw	1905	None	19981231
Daily	crspdcid	9191	None	19981231
CRSP dates to SAS dates for December 31, 1998
Annual	crspdcsa	74	None	14,244
Quarterly	crspdcsq	293	None	14,244
Monthly	crspdcsm	877	None	14,244
Weekly	crspdcsw	1905	None	14,244
Daily	crspdcsd	9191	None	14,244
Integer dates to CRSP dates exact is illustrated, but can be forward or backward
Annual	crspdica	19981231	0	74
Quarterly	crspdicq	19981231	0	293
Monthly	crspdicm	19981231	0	877
Weekly	crspdicw	19981231	0	1905
Daily	crspdicd	19981231	0	9191
SAS dates to CRSP dates exact is illustrated, but can be forward or backward
Annual	crspdsca	14,244	0	74
Quarterly	crspdscq	14,244	0	293
Monthly	crspdscm	14,244	0	877
Weekly	crspdscw	14,244	0	1905
Daily	crspdscd	14,244	0	9191
Integer dates to SAS dates for December 31, 1998
Integer to SAS	crspdi2s	19981231	None	14,244
SAS dates to integer dates for December 31, 1998
SAS to Integer	crspds2i	14,244	None	19981231
Fiscal to calendar shifting of integer dates for December 31, 1998
Fiscal to Calendar Shift	crspdf2c	20021231	8	20020831

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