Monthly Archives: August 2015

How to remove duplicate GVKEY-DATADATE when using Compustat Annual (FUNDA) and Quarterly (FUNDQ)?

Posted on August 21, 2015 by Kai Chen

The annual data (FUNDA) is easy to deal with, we just need to apply the following conditions: indfmt==”INDL” & datafmt==”STD” & popsrc==”D” & consol==”C” If we have converted FUNDA to Stata format, the uniqueness of GVKEY-DATADATE can be verified using … Continue reading →

Posted in Data, Stata | 18 Comments

If beginning year and ending year are known, how to fill in years in between?

Posted on August 21, 2015 by Kai Chen

Question: Suppose two companies A and B are connected in some years. Say, right now the data structure is the following: Company 1 Company 2 Starting Year Ending Year A B 2000 2006 A C 1998 2003 C D 1995 … Continue reading →

Posted in SAS | 3 Comments

SAS macro to get analysts EPS consensus for a given fiscal period end (DATADATE) by a selected date (DATE)

Posted on August 17, 2015 by Kai Chen

Update: contains error! will update later. I write this macro to compute analysts’ quarterly EPS consensus on a selected date (DATE) for a given fiscal quarter end (DATADATE). This macro can be easily modified for other types of estimates (e.g., annual EPS). This macro … Continue reading →

Posted in SAS | Comments Off on SAS macro to get analysts EPS consensus for a given fiscal period end (DATADATE) by a selected date (DATE)

Link Audit Analytics, Compustat, CRSP and I/B/E/S

Posted on August 14, 2015 by Kai Chen

The following program is used to link each financial restatement in Audit Analytics to Compustat, CRSP, and I/B/E/S. The resultant dataset aa contains unique identifiers of Audit Analytics (res_notify_key), Compustat (gvkey), CRSP (permno), and I/B/E/S (ibtic). Please note this program … Continue reading →

Posted in SAS | 15 Comments

Regression with a large dummy-variable set (e.g., firm and year fixed effects) in Stata

Posted on August 4, 2015 by Kai Chen

I run a regression in Stata with a Compustat dataset that contains fyear and gvkey. I want to add firm and year fixed effects, so I type the following command: regress DV IV i.fyear i.gvkey But Stata returns the error … Continue reading →

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