I'm working on a project for my econometrics class and trying to replicate a few papers relating to Fama-French factor models. I got data from CRSP and Compustat, but I'm a bit unsure how to manipulate it appropriately in R. There's a column for the ticker, one for the date of the observation, and then many more for close price, market cap, cash, etc. etc..
My questions are:
1) what's the most effective way to organize this so that I can run time series regressions?
2) How should I handle NA values? I don't want to drop entire tickers because they have NAs.
3) I'm also planning to measure company's exposure to their industry (tbd which factors I use). How can I group company's by industry given that I have their SIC IDs? Thanks!