The SASECRSP Interface Engine
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Overview
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Getting Started
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Syntax
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Details
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Examples
Specifying PERMNOs and RANGE on the LIBNAME Statement Using the LIBNAME Statement to Access All Keys Accessing One PERMNO Using No RANGE Specifying Keys Using the INSET= Option Specifying Ranges for Individual Keys with the INSET= Option Converting Dates By Using the CRSP Date Functions Comparing Different Ways of Accessing CCM Data Comparing PERMNO and GVKEY Access of CRSP Stock Data Using Fiscal Date Range Restriction Using Different Types of Range Restrictions in the INSET Using INSET Ranges with the LIBNAME RANGE Option
- References
| 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 38.6 for converting CRSP missing values into SAS missing codes.
CRSP Stock |
SAS |
Condition |
|---|---|---|
–99 |
. |
No valid price |
–88 |
.A |
Out of range |
–77 |
.B |
Off-exchange |
–66 |
.C |
No valid previous price |
–55 |
.D |
No delisting information |
–44 |
.E |
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 38.7 shows the mapping of Compustat missing codes for the CCM database.
Compustat |
SAS |
Condition |
|---|---|---|
0.0001 |
. |
No data for data item |
0.0002 |
.S |
Data is only on a semi-annual basis |
0.0003 |
.A |
Data is only on an annual basis |
0.0004 |
.C |
Combined into other item |
0.0007 |
.N |
Data is not meaningful |
0.0008 |
.I |
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.