Category: Data management

Author resource: Joost Impink

External link: https://github.com/JoostUF/fama-french/tree/master/SAS

Explanation

I have created a git repository with SAS macros for the various Fama and French industry classifications.

Fama-French repository, and link to SAS macros within repository: SAS macros.

Usage

Sample usage:

/* load macro */
include 'git/fama-french/SAS/Siccodes49.sas';

/* create sample dataset */
data a_myfunda (keep = gvkey sich gvkey fyear at sale ceq);
set comp.funda;
if indfmt eq'INDL' and datafmt eq 'STD' and popsrc eq 'D' and consol eq 'C' ;
run;

/* append fama french 49 industry code */
%ff49(dsin=work.a_funda, dsout=work.b_ff, varname=ff49);

Other Data management
SAS Winsorize macro

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