[R-SIG-Finance] CRSP and R

[Alan Lue]

I haven't experience any problems using CRSP with R.  If you're using
WRDS to get CRSP data, you might use the following output settings:

• Output format: tab-delimited text (*.txt)
• Date format: YYMMDDs10. (e.g. 1984/07/25)

Then use read.delim() with the 'colClasses' argument set to "Date" for
the date column, and R should load the dates correctly.

Alan Lue


On Wed, Dec 15, 2010 at 11:18 AM, Brian G. Peterson <brian at braverock.com> wrote:
> On 12/15/2010 01:13 PM, Corey Gallon wrote:
>>
>> I am using the CRSP US Stock&  US Indices database.  CRSP seems to favor
>> the use of SAS with their data, but I am curious if the community has found
>> using R with CRSP data to be manageable and what, if any, tools or libraries
>> are available to R programmers to facilitate analysis of CRSP data.
>>
>> Your thoughts and feedback will be appreciated.
>
> You could likely help us, and yourself, out if you told us a little more
> about the format of the data and what you're trying to do.
>
> - how do you obtain the data?
> - what format are the files in?
> - is this just instrument prices, or also fundamentals data?
> - what type of analysis do you want to do?
> - what analytical tools and techniques do you need for that analysis?
> - what have you tried already in R to use this data?
>
>
> Regards,
>
>  - Brian
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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-- 
Alan Lue
Master of Financial Engineering
UCLA Anderson School of Management