R: Simulation of clustering with firm and time effects.
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
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
Results
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