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st: Testing for differences


From   "Marc Michelsen" <marcmichelsen@t-online.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Testing for differences
Date   Thu, 28 Oct 2010 14:58:05 +0200

Dear Statalist-Users,

I looking for the appropriate statistic to test for differences in a rated
company sample (panel data). The dataset comprises beside company
financials, the rating category (e.g. AA, A, BBB) and the rating outlook
(positive, negative, stable) per year. In summary, I've got firm-years per
rating category that are subdivided by the prevailing rating outlook.

I want to test for differences in company characteristics between firms with
a positive, negative, stable outlook. However, the comparison has to be done
within a rating category. So BBB companies with a negative outlook have to
be compared with companies also rated BBB but with a different outlook. But
I want to test the whole sample at once and not just sub-samples.

How can I replicate this in Stata? Or more general, what is this type of
problem called in econometric terms? "Clustered"?

Thanks for considering my post.

Marc

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