Download This PaperHow to Clean Academic TRACE Data
21 Pages Posted: 28 Sep 2019
Date Written: September 18, 2019
Abstract
This note updates the data filter from the previous note "How to clean Enhanced TRACE data" to handle the Academic TRACE data. The Academic TRACE data include masked dealer identifiers and allow for improved handling of inter-dealer transactions. We include SAS code for the new filter in the appendix.
Keywords: Academic TRACE data, Error filter, SAS code
JEL Classification: G10, G12
Suggested Citation: Suggested Citation
Dick-Nielsen, Jens and Poulsen, Thomas K., How to Clean Academic TRACE Data (September 18, 2019). Available at SSRN: https://ssrn.com/abstract=3456082 or http://dx.doi.org/10.2139/ssrn.3456082
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