Artificial balanced panel data set from Petersen (2009) for illustrating and benchmarking clustered standard errors.
A data frame containing 5000 observations on 4 variables.
integer. Firm identifier (500 firms).
integer. Time variable (10 years per firm).
numeric. Independent regressor variable.
numeric. Dependent response variable.
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.
Petersen MA (2009). “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”, The Review of Financial Studies, 22(1), 435–480. doi:10.1093/rfs/hhn053