| petersen {multiwayvcov} | R Documentation |
Simulation of clustering with firm and time effects.
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