The SASECRSP Interface Engine

The SASECRSP engine uses the LIBNAME statement to enable you to specify which CRSPAccess database you would like to access and how you would like to perform selection on that database.

To specify the database, you supply the combination of a physical path to indicate the location of the CRSPAccess data files and a set identifier (SETID) to identify the database desired from those available at the physical path. Specify one SETID from Table 38.1. Note that the CRSP environment variable CRSPDB_SASCAL must be defined before the SASECRSP engine can access the CRSPAccess database calendars that provide the time ID variables and enable the LIBNAME to successfully assign. If your database setid is 250, use the SASEXCCM interface to access your data. For more information on the SASEXCCM interface see the chapter on SASEXCCM in SAS/ETS User's Guide.

Usually you do not want to open the entire CRSPAccess database, so for efficiency purposes and ease of use, SASECRSP supports a variety of options for performing data selection on your CRSPAccess database with the LIBNAME statement. These options enable you to open and retrieve data for only the portion of the database you desire. The availability of some of these options depends on the type of database being opened.

CRSP Stock Databases

When accessing the CRSP Stock databases, you can select which securities you want to access by specifying their PERMNOs with the PERMNO= option. PERMNO™ is CRSP’s unique permanent issue identification number and the primary key for their stock databases. Alternatively, a number of secondary keys can also be used to select stock data. For example, you could use the PERMCO= option to read selected securities based on CRSP’s unique permanent company identification number, PERMCO™. A full list of possible keys for accessing CRSP Stock data is shown in Table 38.2.

CRSP/Compustat Merged Databases

Experimental support for Xpressfeed CCM data access is provided by the new SASEXCCM engine. SASEXCCM provides data item handling access methods using CRSPAccess 3.14. For a detailed description of this new ETS interface engine, see the chapter on SASEXCCM in SAS/ETS User's Guide. A description of the legacy CCM data access methods using the SASECRSP engine follows.

When accessing Compustat data via the CCM database using SASECRSP, you can select which companies you want to access by specifying their GVKEYs. GVKEY™ is Compustat’s unique identifer and primary key. You can specify a GVKEY to include with the GVKEY= option. Two secondary keys, PERMNO and PERMCO, are also supported for access via their respective PERMNO= and PERMCO= options. A full list of possible keys for accessing CCM data is shown in Table 38.3.

CRSP Indices Databases

When accessing CRSP Indices data, you can select which indices you want to access by specifying their INDNOs. INDNO™ is the primary key for CRSP Indices databases. You can specify which INDNO to use with the INDNO= option. No secondary key access is supported for CRSP Indices. A full list of possible keys for accessing CRSP Indices data is shown in Table 38.4.

Regardless of the database you are accessing, you can always use the INSET= and RANGE= options for subsetting and selection. The RANGE= option subsets the data timewise. The INSET= option enables you to specify which issues or companies you want to select from the CRSP database by using an input SAS data set.