petersen: Simulation of clustering with firm and time effects.

In multiwayvcov: Multi-Way Standard Error Clustering

Description

A dataset containing the 500 simulated firms over 10 years. Originally created by Mitchell Petersen in conjunction with Petersen (2009) and made available at http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.txt. See the references for simulation process. The variables are as follows:

Format

A data frame with 5000 rows and 4 variables

Details

• firmid. Firm identifier.

• year. Year identifier.

• x. Independent (right-hand side) variable.

• y. Dependent (left-hand side) variable.

References

Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. Review of financial studies, 22(1), 435-480.

Mitchell Petersen's description of the simulation process: http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm

multiwayvcov documentation built on May 2, 2019, 1:44 p.m.