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multiwayvcov (version 1.2.3)

petersen: 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:

Arguments

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