winsor2

Stata 进行批量进行 winsor 或 trimming 处理的第三方命令，作者为连玉君。
winsor2 winsorize or trim (if trim option is specified) the variables in varlist at particular percentiles specified by option cuts(# #). In defult, new variables will be generated with a suffix "_w" or "_tr", which can be changed by specifying suffix() option. The replace option replaces the variables with their winsorized or trimmed ones.

ssc install winsor2, replace

winsor2 varlist [if] [in], [ suffix(string) replace trim cuts(# #) by(groupvar) label ]

(1) 可以批量处理多个变量；
(2) 不仅可以 winsor，也可以 trimming；
(3) 附加了 by() 选项，可以分组 winsor 或 trimming；
(4) 增加了 replace 选项，可以不必生成新变量，直接替换原变量。

/*- winsor at (p1 p99), get new variable "wage_w"*/
.   sysuse nlsw88, clear
.   winsor2 wage
/*- left-trimming at 2th percentile*/
.   winsor2 wage, cuts(2 100) trim

/*- winsor variables by (industry south), overwrite the old variables*/
.   winsor2 wage hours, replace by(industry south)

姓名：连玉君
邮箱：arlionn@163.com
单位：中山大学岭南学院金融系