CRSP Data Retrieval and Analysis in SAS Software for Users and Administrators
Donald P. Cram
State University of New York, Oswego
GSB Technical Report #80
Center for Research in Security Prices (CRSP) data users would prefer to leave behind, or never learn, the Fortran programs that are most commonly used to retrieve and analyze CRSP data. But while a 1994 SAS Users Group International conference paper explained theoretical benefits of using SAS to deliver CRSP and other large databases at a major U.S. business school, and while SAS/ETS's PROC DATASOURCE has been available since 1993, it appears that few CRSP sites are set up well for the SAS user. Sample SAS/ETS and Base SAS programs, general programming tips, and certain supporting central files at each site are needed. This paper, and an associated WWW-site with downloadable programs, addresses these gaps in service to existing and would-be CRSP SAS users. It is targetted for beginning CRSP users with moderate SAS experience and for system administrators who may install central files to help users. Some tips are framed specifically to pertain to the Unix operating system and other particulars of the Stanford Graduate School of Business CRSP site, but the sample programs should run on all platforms. The sample programs include an event study, one of the most frequent CRSP data applications, which employs SAS macro-language programming and uses central files installed by system administrator programs which also are provided.
JEL Classification: C87
Date posted: June 27, 1998