The SASECRSP Interface Engine

CRSP has historically used two different methods to represent dates, whereas SAS has used a third. The three formats are SAS dates, CRSP dates, and integer dates. The SASECRSP engine provides 23 functions, 15 informats, and 10 formats to enable you to easily translate the dates from one internal representation to another. A SASECRSP engine libref must be assigned prior to your use of the CRSP date formats, informats, and functions. See Example 38.6, "Converting Dates Using the CRSP Date Functions."

SAS dates are stored internally as the number of days since January 1, 1960. The SAS method is an industry standard that provides a great deal of flexibility, including a wide variety of informats, formats, and functions.

CRSP dates are designed to ease time series storage and access. Internally, the dates are stored as an offset in an array of trading days or a trading-day calendar. There are five different CRSP trading-day calendars: Annual, Quarterly, Monthly, Weekly, and Daily. In this sense, there are five different types of CRSP dates, one for each frequency of calendar that it references. The CRSP method provides fewer missing values and makes trading period calculations very easy. However, many valid calendar dates are not available in the CRSP trading calendars, and you must be careful when you use other dates.

Integer dates are a way to represent dates that are platform-independent and maintain the correct sort order. However, the distance between dates is not maintained.

The best way to illustrate the various date formats is to use some sample data. Table 38.6 shows date representations for CRSP daily and monthly data.

Having an understanding of the internal differences in representing SAS dates, CRSP dates, and CRSP integer dates helps you use the SASECRSP engine formats, informats, and functions effectively. Always keep in mind the frequency of the CRSP calendar that you are accessing when you specify a CRSP date.