The SASECRSP Interface Engine

SAS requires time series data to be in a specific form that is recognizable by the SAS System. This form is a two-dimensional array, called a SAS data set, whose columns correspond to series variables and whose rows correspond to measurements of these variables at certain points in time. The time at which observations are recorded can be included in the data set as a time ID variable. Because CRSP sets the date at the end of a time period instead of at the beginning, the SASECRSP interface engine follows this convention. For example, the time ID variable for any particular month in a monthly time series is set to the last trading day of that month.

The SASECRSP engine provides several different time ID variables, depending on the data member that is opened. For most members, a time ID variable named CALDT is provided. CALDT provides a day-based calendar date and is in a CRSP date format. The dates are stored as an offset in an array of trading days or a trading-day calendar. Five different CRSP trading-day calendars are available; which calendar is used depends on the frequency of the data member. For example, the CRSP date for a daily time series refers to a daily trading-day calendar.

The five trading-day calendar frequencies are annual, quarterly, monthly, weekly, and daily. For convenience, the format and informat for the frequency field are set so that the CRSP date is automatically converted to an integer date representation when viewed or printed. For data programming, the SASECRSP engine provides 23 different user functions for date conversions between CRSP, SAS, and integer dates.