Generate simulated data as described in Gow, Ormazabal and Taylor (2010).

Function to generate simulated panel data as described in Gow, Ormazabal and Taylor (2010).

Usage

get_got_data(N = 400, T = 20, Xvol, Evol, rho_X, rho_E)

Source

https://www.jstor.org/stable/20744139

Arguments

N

Number of firms

T

Number of years

Xvol

Cross-sectional correlation of X

Evol

Cross-sectional correlation of errors

rho_X

Autocorrelation coefficient for firm-effect portion of X

rho_E

Autocorrelation coefficient for firm-effect portion of epsilon

Value

A tibble with columns y (outcome), x (predictor), firm (integer firm identifier), and year (integer year index), with N * T rows.

Examples

set.seed(2021)
test <- get_got_data(N = 500, T = 10, Xvol = 0.75,
                     Evol = 0.75, rho_X = 0.5, rho_E = 0.5)