Hi
I want to apply the methodology of Burgstahler & Dichev (1997) to calculate the statistical significance. It reads as under:
"statistical significance of the hypotheses is tested by using a method similar to that used in Burgstahler and Dichev (1997). Specifically, under the null hypothesis of no deviations from a normal distribution, the cross sectional distribution of earnings changes and earnings levels is relatively smooth. We present the frequency distribution of the variables across intervals of Et or Change in Et and test that the distribution is smooth using standardised differences. This standardised difference is the difference between the actual number of observations and the expected number of observations within an interval divided by the estimated standard deviation of the difference. The expected number of observations in an interval is equal to the average of the two adjacent intervals. This standardised difference will approximate a normal distribution with mean 0 and standard deviation 1. In order to test our hypotheses, we examine the intervals around the zero benchmark and test whether these intervals have a statistically significant positive (actual observations greater than what is expected) or negative (actual observations lower than expected) standardised difference"
I'm at a loss for applying this technique in Stata. Your help would be highly appreciated. My data is as under:
Et
23
24
22
22
30
12
19
18
22
29
31
10
11
14
17
6
4
17
11
10
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