SAS-Code to compute White (1980) standard errors adjusted for clustering along two dimensions written by John McInnis, slightly modified by me.
SAS-Dataset with Link between IBES-Ticker and PERMNO (includes data until the end of 2020) -Screenshot of Dataset
More Specific Stuff (also check out the various datasets I make available through the "Papers" section)
As used in Green + Hwang ("Price-Based Return Comovement", Journal of Financial Economics, 2009)
As used in Green + Hwang ("IPOs as Lotteries: Skewness Preference and First-Day Returns", Management Science, 2012)
As used in Hwang + Kim ("It Pays to Write Well", Journal of Financial Economics, 2017)
Please note that prior to June 2003 there is very limited short interest data for NASDAQ firms in COMPUSTAT