Steps to compute HHI in SAS

1. At minimum, you need SICH, SALE, and FYEAR from COMPUSTAT.
2. SICH is four digits. As an example, if you want to compute HHI by three-digit SIC, do the following:
   char_sic=put(sich,4.0);*This converts SICH from numeric to character; three_char_sic=substr(char_sic,1,3);*This takes the first three components of the string; sicthree=input(three_char_sic,best3.);*This converts the character back;
3. We first need to compute the total size of the market for a given industry-year:
   proc summary data=sic; by sicthree fyear; var sale; output out=hhidenom (drop=_type_ _freq_) sum=; run;
4. Now, we can compute the HHI:

   *Sort before merge; proc sort data=sic; by sicthree fyear; run; proc sort data=hhidenom; by sicthree fyear; run;

   *Merge denominator; proc sql;*http://sbaleone.bus.miami.edu/PERLCOURSE/SASFILES/SQL_EXAMPLES.sas; create table compstatdenom as select a.*, b.sale as denom from sic a left join hhidenom b on (a.sicthree=b.sicthree) and (a.fyear=b.fyear); quit;

   *Create market share; data compstatshare; set compstatdenom; share=sale/denom; sharesq=share**2; run;

   *Create HHI; *http://www.talkstats.com/showthread.php/10892-Sum-up-values-by-groups; proc summary data=compstatshare; by sicthree fyear; var sharesq; output out=sumhhi (drop=_type_ _freq_) sum=; run;

   *Merge HHI; proc sql;*http://sbaleone.bus.miami.edu/PERLCOURSE/SASFILES/SQL_EXAMPLES.sas; create table compstathhi as select a.*, b.sharesq as hhi from compstatshare a left join sumhhi b on (a.sicthree=b.sicthree) and (a.fyear=b.fyear); quit;