Name:

Description:

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

Variables:

A data frame containing 5000 observations on 5 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.

Link To Google Sheets:

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References/Notes/Attributions:

Source

http://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

R Dataset Upload:

Use the following R code to directly access this dataset in R.

R Coding Interface: