WINTER 2002 TRAINING SESSIONS

See the announcement for these sessions.

• To attend these sessions you need a skew3 and a WRDS account. Please test you login and password before the session.
• Sessions take place on the Jacobs Center Extension Computer Lab (G20).

Handouts

• Basic Unix commands, editing files, FTP, basis SAS logic (Revised: February 14, 2002)
• Data retrieval from CRSP and Compustat using Wharton's WRDS server (Revised: February 17, 2002)).
  Examples used in the document:
  • Sample tickers
  • Example 1 program: Subset Compustat variables for specific tickers
  • Example 2 program: Subset Compustat for specific industries (using NAICS classification)
  • Example 3 program; Subset CRSP and the quarterly merged CRSP/Compustat
  • Program used to create sample extract files for example 3.
• SAS merging: PowerPoint presentation showing basic alternatives to merge two datasets.
• Accessing data through Wharton Research Data Services' web interface: This handout is intended for use by faculty members in classes where MBA students are granted access to a WRDS class account. (Updated: May 11, 2001)

Relevant links

• Skew3 pages
• UNIX help sites
• Wharton Research Data Services (WRDS)
• Terminal emulators: You need one of these installed in your desktop in order to access UNIX hosts such as skew3 and WRDS.
• Contents of CRSP SAS data files in the WRDS server

SAS documentation

• Kellogg's SAS page
• SAS online documentation in HTML format (link also available from Kellogg's SAS page)
• SAS Program Effciency for Beginners by Bruce Gilsen. In: Proceedings of the Twenty-Fourth Annual SAS Users Group International Conference. April 11-14, 1999, Miami Beach, Florida.
• Introduction to the Basics: Avoiding Some Pitfalls by Deb Cassidy. In: Proceedings of the Twenty-Third Annual SAS Users Group International Conference. March 22-25, 1998, Nashville, Tennessee.
• A Beginners Guide to SAS Date and Time Handling by Wayne Finley. In: Proceedings of the Twenty-Fifth Annual SAS Users Group International Conference. April 9-12, 2000, Indianapolis, Indiana.
• SAS Dates, Times, and Interval Functions, SAS Technical Support Tech Note TS-668
• Fuzzy Merges: Examples and Techniques by Malachy J. Foley. In: Proceedings of the Twenty-Fourth Annual SAS Users Group International Conference. April 11-14, 1999, Miami Beach, Florida.
• Everything you want to know about MERGE but were afraid to ask, SAS Technical Support Tech Note TS-644
• SAS Users Group International (SUGI) Proceedings online, a very usful site with a myriad of papers on SAS, from beginner's guides to the most arcane techniques.

Note: The Gilsen and Cassidy papers offer good general advice for SAS programming. Those who use CRSP and TAQ (or any SAS dataset with formatted dates and/or times) will find Finley provides an overview of the necessary SAS functions and formats. The Foley paper will help those trying to merge datasets where there is no variable that has a one-to-one match between the datasets (for example, matching quotes to trades in TAQ within 5 minutes).