/* -------------------------------------------------------------------------- */ /* MAKEFMT.GPG all .fmt files are translated from .prn files by this program */ /* this file just translates .prn's to .fmt's, changing all units to gross returns. It does NO sampling, averaging, etc. */ /* currently available series: CRSP quarterly returns: qcaldt,qvwretd,qvwretx,qewretd,qewretx,qsptrn,qdecrets; 26 end of 1st qtr -> 90 end of 4th qtr [85,260] gives 47-90 end of 1st qtr -> end of 4th qtr CRSP monthly returns: mcaldt,mvwretd,mvwretx,mewretd,mewretx,msptrn,mdecrets; mtotval,mtotcnt,musdval,musdcnt; 780 long 260130 - 901231. 253 = 470131 CRSP INDIVIDUAL STOCK RETURNS (NYSE/AMEX random stock returns): invstret; dataset size = [553,22]; start = 441231; end = 901230 SBBI monthly returns: mCSTRET,mGBTRET,mCBTRET,mUSTRET,mCPIRET,mSSTRET; same as crsp CITIBASE monthly data: fyaaac,fybaac,fygl,fygm3 531 observations 47:1 to 91:4 units annualized% mpunew consumer price index (sa) level 530 observations 47:1 to 91:2 ip industrial production CITIBASE macro data: all quarterly 47-90 year,qtr, GNP82,GV82,GVU82,GVF82,GNET82,GGE82, GPI82,GIF82,GIN82,GIS82,GIPD82,GIR82, gc82,gcn82,gcs82,gcd82, gd,gpop; year,qtr, GPOP population GNP82, GNP GD GNP deflator GV82, ch bus inventories GVU82, nonfarm GVF82, farm GNET82, net exports GGE82, govt purchases GPI82, gross private domestic investment GIF82, fixed GIN82, nonresidential GIS82, structures GIPD82, producer's durable equipment GIR82, residential gc82, personal consumption expenditures gcn82, nondurable goods gcs82, serrvices gcd82; durable goods ----------------------------------------------------------------------------- */ library gmm; dpath(1); /* 0: John's datapath */ /* 1: Caleb's datapath */ /* load x[532,3] = ip.prn; ip = x[.,3]; save ip; /* ------------------ */ /* citibase financial */ /* ------------------ */ load x[532,6]= yields.prn; year = x[.,1]; qtr = x[.,2]; fyaaac = x[.,3]; fybaac = x[.,4]; fygl = x[.,5]; fygm3 = x[.,6]; save fyaaac,fybaac,fygl,fygm3; /* --------- */ /* CPI */ /* --------- */ load x[530,3] = punew.prn; mpunew = x[.,3]; save mpunew; /* --------- */ /* SBBI data */ /* --------- */ load x[780,8] = msbbi1.prn; CALDT = x[.,2]; mCSTRET = 1+x[.,3]; mCSIRET = x[.,4]; /* parts of cstret ? */ mCSCRET = x[.,5]; /* ? */ mGBTRET = 1+x[.,6]; mGBIRET = x[.,7]; /* ? */ mGBCRET = x[.,8]; /* ? */ load x[780,5] = msbbi2.prn; mCBTRET = 1+x[.,2]; mUSTRET = 1+x[.,3]; mCPIRET = 1+x[.,4]; mSSTRET = 1+x[.,5]; save mCSTRET,mGBTRET,mCBTRET,mUSTRET,mCPIRET,mSSTRET; /* ----------------- */ /* monthly qsia data */ /* ----------------- */ load x[780,8] = msia1.prn; row = x[.,1]; mcaldt = x[.,2]; mvwretd = 1+x[.,3]; mvwretx = 1+x[.,4]; mewretd = 1+x[.,5]; mewretx = 1+x[.,6]; msptrn = 1+x[.,7]; mdecrets = 1+x[.,8]; /* 1 decile */ load x[780,8] = msia2.prn; mdecrets = mdecrets~(1+x[.,2:8]); /* 3 - 8 decile */ load x[780,7] = msia3.prn; mdecrets = mdecrets~(1+x[.,2:3]); /* 9 - 10 decile */ mtotval = x[.,4]; mtotcnt = x[.,5]; musdval = x[.,6]; musdcnt = x[.,7]; save mcaldt,mvwretd,mvwretx,mewretd,mewretx,msptrn,mdecrets, mtotval,mtotcnt,musdval,musdcnt; /* ------------------------------- */ /* load deciles, indices from qsia */ /* ------------------------------- */ load x[260,8] = qsia1.prn; row = x[.,1]; qvwretd = 1+x[.,2]; qvwretx = 1+x[.,3]; qewretd = 1+x[.,4]; qewretx = 1+x[.,5]; qsptrn = 1+x[.,6]; qdecrets = 1+x[.,7:8]; /* 1 and 2 decile */ load x[260,8] = qsia2.prn; qdecrets = qdecrets~(1+x[.,2:8]); /* 3 - 9 decile */ load x[260,3] = qsia3.prn; qcaldt = x[.,2]; qdecrets = qdecrets~(1+x[.,3]); /* 10 decile */ save qvwretd,qvwretx,qewretd,qewretx,qsptrn,qdecrets,qcaldt; /* --------------- */ /* load macro data */ /* --------------- */ load x[176,8] = gnpetc.prn; year = x[.,1]; qtr = x[.,2]; GNP82 = x[.,3]; GV82 = x[.,4]; GVU82 = x[.,5]; GVF82 = x[.,6]; GNET82= x[.,7]; GGE82 = x[.,8]; load x[176,8] = invest.prn; GPI82 = x[.,3]; GIF82 = x[.,4]; GIN82 = x[.,5]; GIS82 = x[.,6]; GIPD82= x[.,7]; GIR82 = x[.,8]; load x[176,6] = cons.prn; gc82 = x[.,3]; gcn82 = x[.,4]; gcs82 = x[.,5]; gcd82 = x[.,6]; load x[176,3] = qgd.prn; gd = x[.,3]; load x[181,3] = gpop.prn; /* 46:01 - 91:1 */ x = x[5:4+176,.]; /* 47:01 - 90:4 */ gpop = x[.,3]; save year,qtr,GNP82,GV82,GVU82,GVF82,GNET82,GGE82, GPI82,GIF82,GIN82,GIS82,GIPD82,GIR82, gc82,gcn82,gcs82,gcd82,gd,gpop; /* ---------------------------------- */ /* load individual stock returns */ /* ---------------------------------- */ load x[553,41] = ind40.prn; indstret = 1+x[.,2:41]; save indstret; */ /* ----------------------------------------------- */ /* load vintiles produced from K. French program */ /* (1) ew20 = equal-weighted */ /* (2) vw20y = value-weighted each brk pt. */ /* (3) vw20m = value-weighted each monthly ret */ /* ----------------------------------------------- */ load x[539,22] = ew20.prn; mew20 = 1+x[.,3:22]; load x[539,22] = vw20y.prn; mvw20y = 1+x[.,3:22]; load x[539,22] = vw20m.prn; mvw20m = 1+x[.,3:22]; save mew20,mvw20m,mvw20y; /* ----------------------------------------------- */ /* load deciles produced from K.French program */ /* (1) ew10 = equal-weighted */ /* (2) vw10y = value-weighted each brk pt. */ /* (3) vw10m = value-weighted each monthly ret */ /* ----------------------------------------------- */ load x[539,12] = ew10.prn; mew10 = 1+x[.,3:12]; load x[539,12] = vw10y.prn; mvw10y = 1+x[.,3:12]; load x[539,12] = vw10m.prn; mvw10m = 1+x[.,3:12]; save mew10,mvw10m,mvw10y;