Petersen's Simulated Data for Assessing Clustered Standard Errors

Artificial balanced panel data set from Petersen (2009) for illustrating and benchmarking clustered standard errors.

data("PetersenCL")

Format

A data frame containing 5000 observations on 4 variables.

firm

integer. Firm identifier (500 firms).

year

integer. Time variable (10 years per firm).

x

numeric. Independent regressor variable.

y

numeric. Dependent response variable.

Details

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.

Source

https://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm

References

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