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st: Winsorize by time and group


From   Gokhan Yilmaz <statacurious@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Winsorize by time and group
Date   Tue, 29 Nov 2011 04:24:08 -0500

Dear All,

I have a time variable "t" that takes values between 1 to 12 for each
month and a group variable that is {0,1}. I want to winsorize my
return variable "ret" for each group in each month. Since "by" cannot
be combined with "winsor", can you suggest a syntax in this case? In
my statalist search i found the syntax  for winsorizing on one
dimension (every year) but couldn't find a case with two dimensions.

Thanks in advance for the help.

Gokhan
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