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Purpose of this document
SAS for Finance PhDs
André de Souza
Purpose of this document
Where to get help for SAS problems
Some preliminaries you should know
SAS basics
The logic of the DATA step
The OUTPUT statement
The counter _N_
Some CRSP variable names
Macro basics
Move to SAS on Unix
Cygwin and X-Windows
Reading in datasets
Quick and dirty: convert proc import log output to an input statement
guessingrows
Why does proc import hang on Unix?
Working with WRDS datasets
CRSP: DSF/MSF
Names files in CRSP: stocknames and fundnames
CRSP: ncusip and cusip
Adjusting shares in holdings data
Merging CRSP and Compustat
Working with time-series data and dates
Moving dates around
Avoiding the lag() function
Rolling regressions without macros
Missing values
Code debugging
Run on a small subset of observations, making sure your code doesn't overwrite anything
See what the macro sees
Set msglevel=i
Print variables to the log within the data step
Using the DEBUG option
Macros
Macro variables
Subsetting observations from large datasets efficiently
Loops
Counters are dates
%FOR variable in &LIST
Subsetting observations from large datasets efficiently
Writing frequently-used code as macros
Merging macros
Checking for duplicate by-variable combinations
Sundry macros
Regressions
The DOW loop
Merges
Merging a dataset with a single observation into another dataset
Merging without sorting: the DATA step HASH object
One-to-many with the DOW loop
Many to many
Using proc sql
Using hashes with multidata
Post-merge processing: merge and then calculate summary statistics
Statistics
Weighted means with negative weights
Robust standard errors
Fixed effects
Brute-force
An efficient way with one-way fixed effects
Two-way fixed effects
Pairwise statistics with large datasets
Efficiency
Reading into the PDV: where, keep, and in
Never use proc sql
Don't sort more than strictly necessary
Macro loops make things possible, they don't make them fast
SAS on Unix
Transferring files from DOS: line endings
Locating your work directory
Relocating your work directory
Relocating your log and lst files
Memory issues
Why does proc import hang on Unix?
Searching for files on Unix
Utilities
Parsing the SAS log: logsasparse
Looking at SAS datasets: sasprint
Killing all sas processes: saskill
The autoexec.sas file
The .sasv9.cfg file
SAS with X-Windows
Further fascinating topics
What really happens in the merge statement
The fascinating Do-loop
Bibliography
Andre de Souza 2011-09-24