[David Benson]

As far as resources for learning Stata:

1) See this link on Statalist where people listed their favorite resources. I learned Stata using the Lawrence Hamilton book Statistics with Stata they mention (Link. The link lists several versions on Amazon. (I learned using the version 7 book (that came out in 2001). You can buy the version 10 book for about $6 on Amazon.

2) The books I use now are:
Microeconometrics Using Stata by Cameron & Trivedi

Regression Models for Categorical Dependent Variables Using Stata by Long & Freese

I'm going to quote from a previous post I did. It lists / links to several people who blog about using Stata in accounting or finance research.

I know this is an older thread, but given that merging daily / monthly stock return data from CRSP to annual accounting data in COMPUSTAT, I thought I would pull together some helpful links.

If you have access to the Compustat-CRSP merged (CCM) database, they have done all the hard work of matching CRSP's PERMNO's to Compustat's GVKEY's (and matching up the dates.) No merging needed.

If like many of us, you don't have access (so you have to match them manually), Robson Glasscock's blog "Stata and Accounting Research" here has a number of useful entries. In particular see:

1. Merging CRSP and Compustat data (which itself points to a number of other helpful CRSP / COMPUSTAT resources
2. Dealing with GVKEY and DATATADATE (FYEAR) duplicates in Compustat in Stata

Rui Dai has a very helpful tutorial about CUSIP, GVKEY, PERMNO, ticker, etc as well as linking CRSP / Compustat data at http://www.ruidaiwrds.info/data/link...-and-compustat

Kai Chen has a number of posts on using Stata in finance & accounting research (Calculate CFO tenure with Execucomp in Stata, Handy Stata command to create Fama-French industry classifications based on SIC codes, etc). The relevant post on linking CRSP and Compustat is here

Luis Palacios excellent tutorial (as a PDF) is here

Ian Gow has some good insight on the Compustat-CRSP linktables here

Hope that helps!

[Michael Craig]

I finally got the data into Stata (and learned a lot through the process).

Special thanks to David!!!
I will definitely check out the resources.