Constructs 4 different industry classifications based on SIC, NAICS, GICS and Fama-French industry classifications
Example
/* ********************************************************************************* */
/* ******************** W R D S R E S E A R C H M A C R O S ******************** */
/* ********************************************************************************* */
/* WRDS Macro: INDCLASS */
/* Summary : Constructs 4 different industry classifications based on SIC, NAICS, */
/* GICS and Fama-French industry classifications */
/* */
/* Date : Feb, 2010 */
/* Author : Denys Glushkov, WRDS */
/* Variables : */
/* - INSET : Name of input dataset containing the list of distinct gvkeys */
/* - OUTSET : Output dataset containing codes and names of 4 industry */
/* classifications using SICH (Historical SIC code), NAICSH (Historical */
/* NAICS code), SPGIM (Historical GICS code) and FF classification as */
/* well industy names */
/* - FFIND : Number of Fama-French industries with values: 10,12,17,30,38,48,49 */
/* - BEGDATE: Beginning date of the period for which classification is sought */
/* should be in DDMMYYYY format, e.g., 01jan1985 */
/* - ENDDATE: Ending date of the period for which classification is sought */
/* should be in DDMMYYYY format, e.g., 31dec2008 */
/* - FREQ : Desired date frequency for the output. Can be day,week,month or year */
/* e.g, FREQ=YEAR */
/* ********************************************************************************* */
%MACRO INDCLASS (INSET=, OUTSET=, FFIND=, BEGDATE=,ENDDATE=,FREQ=);
%local begdate1 enddate1;
%local oldoptions errors;
%let oldoptions=%sysfunc(getoption(mprint)) %sysfunc(getoption(notes))
%sysfunc(getoption(source));
%let errors=%sysfunc(getoption(errors));
options nonotes nomprint nosource errors=0;
%let begdate1=%sysfunc(putn("&begdate"d,5.));
%let enddate1=%sysfunc(putn("&enddate"d,5.));
/*Create the list of dates at the user-requested frequency*/
data _dates;
&freq._date=intnx("&freq",intnx("&freq",&begdate1,-1),0,"END");
do while (&freq._date < intnx("&freq",&enddate1,0,"END"));
&freq._date=intnx("&freq",&freq._date,1,"END");
output;
end;
/*Populate date variable and limit the sample to the years covered by Compustat*/
proc sql;
create view _&outset.1
as select a.*, b.&freq._date format=date9.
from &inset a, _dates b;
create view _&outset.2
as select a.*
from _&outset.1 a, comp.names (keep=gvkey year1 year2) b
where a.gvkey=b.gvkey and b.year1 <= year(a.&freq._date)<= b.year2;
quit;
%put ; %put ### EXTRACTING HISTORICAL SIC AND NAICS...;
proc printto log=junk;run;
proc sql; create view _codes1
as select a.*, b.naicsdesc
from (select a.*, b.sicdesc
from (select a.gvkey,a.naicsh,a.sich,a.datadate from comp.co_industry a,&inset b
where a.gvkey=b.gvkey and a.consol='C' and a.popsrc='D') a
left join comp.r_siccd b on a.sich=input(b.siccd,11.)) a left join comp.r_naiccd b
on a.naicsh=input(b.naicscd,11.)
order by gvkey, datadate desc;
quit;
/*Define the lead datadate for future merging*/
data _codes; set _codes1;
by gvkey descending datadate;
leaddatadate=lag(datadate);
if first.gvkey then leaddatadate=intnx('month',datadate,12,'end');
run;
proc printto;run;
%put ### DONE!;
%put ; %put ### MERGING IN INDUSTRY CODES AND DESCRIPTIONS...;
proc sql;
create view _&outset.3
as select a.*, b.spgim
from (select a.*, b.sich, b.naicsh, b.sicdesc, b.naicsdesc
from _&outset.2 a left join _codes b
on a.gvkey=b.gvkey and b.datadate < a.&freq._date <= b.leaddatadate) a
left join comp.sec_mth (where=(missing(spgim)=0 and iid='01')) b
on a.gvkey=b.gvkey and a.&freq._date=intnx('month',b.datadate,0,"END");
create view _&outset.4
as select a.*, b.gicdesc
from _&outset.3 a left join comp.r_giccd b
on a.spgim=b.giccd
order by gvkey, &freq._date;
quit;
%put ### DONE!;
%put ; %put ### ASSINGING FAMA-FRENCH INDUSTRIES...;
data _&outset.5/view=_&outset.5; set _&outset.4;
%ffi&ffind(sich);
run;
proc sort data=_&outset.5 out=&outset; by gvkey &freq._date;run;
%put ### DONE!;
/*house cleaning*/
proc sql; drop table _dates, _codes;
drop view _&outset.1,_&outset.2, _&outset.3,
_&outset.4, _&outset.5, _codes1;quit;
options errors=&errors &oldoptions;
%MEND;
/* ********************************************************************************* */
/* ************* Material Copyright Wharton Research Data Services *************** */
/* ****************************** All Rights Reserved ****************************** */
/* ********************************************************************************* */