farr (version 0.2.39)

get_got_data: 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)

Value

tibble

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

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)