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 2017) -Screenshot of Dataset
More Specific Stuff
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)
As used in Chen + Hwang + Liu ("The Emergence of "Social Executives" and its Consequences for Financial Markets", Working Paper)
Please note that prior to June 2003 there is very limited short interest data for NASDAQ firms in COMPUSTAT