Datanomics

Here is some simple code to transform those pesky CRSP dates (YYYYMMDD) to Stata compatible dates: insheet using "/Users/michaelewens/Archive/UCSD/returns_paper/data/stock_indices/sp_daily.csv"
rename caldt date
* Date Transformation gen year = floor(date/10000)
 gen month = floor((date - year*10000)/100)
 gen day = floor(date - year*10000 - 100*month)
 * replace the date
 replace date = mdy(month, day, year) 
format date %td