For expedience' sake, I am just providing the emails that Gerry sent, "as is" except for slight editing of this overview email and of extraneous headers in the other files. Don Cram 6/17/96 From STATMAN@PACEVM.DAC.PACE.EDU Mon Jun 17 12:36:30 1996 Date: Mon, 17 Jun 96 14:47:13 EDT From: Gerry Organization: Dept of Academic Computing, Pace University Subject: Re: Event Program To: "Donald P. Cram" On Mon, 17 Jun 1996 10:56:24 -0700 (PDT) you said: Don: >It indeed is of great interest; event studies are probably the most >common application using CRSP data, but the programming is not trivial >especially for persons learning about the CRSP database querks and SAS >or Fortran querks all at the same time. Can you provide this program, >as is, for me to include at the FAQ page as I have now collected >a couple of others? > From previous notes on CRSP-L, I fear our code is too simplistic, how- ever, you are welcome to it. I will send the 4 files (a setup program, the "shell", the actual program and a sample date file). The algorithm, given to us by the person who requested the application be written, Prof Chung of our Lubin Business School, basically goes as follows: In an external file, the user provides a set of CUSIPs of companies that are of interest, and a "base" date for each CUSIP. The Event program is engaged and a control parameter window for the program is displayed. The user enters the name of the CUSIP/Base Date input file, the name of the exchange (NYSEAMX or NASDAQ), the variable of interest (ASKHI, BIDLO, PRICE, RETURN or VOLUME), the "X" value, which is the number of trading days before the "base" (event) date and the "Y" value, the number of trading days after the "base" date. > >Can you send the SAS program and the REXX shell program? What is >REXX, is it comparable to what on other platforms. What is REXX !!! Don, I'm surprised at you, especially working at Stanford. The people at SLAC were the first host site for the REXX Symposium. REXX is used for both command instructions and general applications. Like SAS, it is descended from PL/I. SAS under VM/CMS (and soon MVS) can pass (to REXX) and receive (from REXX) variables. REXX runs on most major platforms: VM/CMS, MVS, OS/2, Windows 95/NT, and Unix (there are at least 4 implementations). It is very easy to learn and very powerful. Someone at SLAC wrote a paper on writing CGIs in REXX under Unix that is available from one of the SLAC web servers. Michael Cowlishaw, the author of REXX, just implemented a new REXX-variant known as NETREXX, which compiles to JAVA bytecode and can be viewed by any Java capable browser (SUN must love this). So much for REXX 101. I will send each program in separate e-mail files. -Gerry ------------------------------------------------------------------------ Gerard T. Pauline | Programmer / Analyst | Pace University | Phone: (212) 346-1706 Dept of Academic Computing | Internet: Statman @ Pacevm.Dac.Pace.Edu 1 Pace Plaza, Office Y-25 | Bitnet: Statman @ Pacevm New York, NY 10038 | Web: http://www.pace.edu/acadcomp