get_got_data: Generate simulated data as described in Gow, Ormazabal and...

In farr: Data and Code for Financial Accounting Research

Generate simulated data as described in Gow, Ormazabal and Taylor (2010).

Description

Function to generate simulated panel data as described in Gow, Ormazabal and Taylor (2010).

Usage

get_got_data(N = 400, T = 20, Xvol, Evol, rho_X, rho_E)

Arguments

N	Number of firms
T	Number of years
Xvol	Cross-sectional correlation of X
Evol	Cross-sectional correlation of errors
rho_X	Autocorrelation coefficient for firm-effect portion of X
rho_E	Autocorrelation coefficient for firm-effect portion of epsilon

Value

tibble

Examples

set.seed(2021)
test <- get_got_data(N = 500, T = 10, Xvol = 0.75,
                     Evol = 0.75, rho_X = 0.5, rho_E = 0.5)
test

farr documentation built on Feb. 16, 2023, 8:11 p.m.