PetersenCL: Petersen's Simulated Data for Assessing Clustered Standard...

PetersenCLR Documentation

Petersen's Simulated Data for Assessing Clustered Standard Errors

Description

Artificial balanced panel data set from Petersen (2009) for illustrating and benchmarking clustered standard errors.

Usage

data("PetersenCL")

Format

A data frame containing 5000 observations on 4 variables.

firm

integer. Firm identifier (500 firms).

year

integer. Time variable (10 years per firm).

x

numeric. Independent regressor variable.

y

numeric. Dependent response variable.

Details

This simulated data set was created to illustrate and benchmark clustered standard errors. The residual and the regressor variable both contain a firm effect, but no year effect. Thus, standard errors clustered by firm are different from the OLS standard errors and similarly double-clustered standard errors (by firm and year) are different from the standard errors clustered by year.

Source

https://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm

References

Petersen MA (2009). “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”, The Review of Financial Studies, 22(1), 435–480. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/rfs/hhn053")}


sandwich documentation built on Sept. 16, 2024, 3:08 a.m.