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Re: st: technical question on the removal of outliers


From   Steven Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: technical question on the removal of outliers
Date   Mon, 28 Feb 2011 12:24:56 -0500

Rado-

I cannot recommend your procedure:

Outliers in regression are defined as those with extreme residuals. The only way to identify them is to do the regressions first. Extreme observations on the Y variable  may or may not be outliers; conversely outliers can have values in the middle of the Y distribution.

  If you want to "automatically" minimize or eliminate the effects of outliers on regression results, I recommend Verardi and Croux's -mmregress- package (-findit-).  


Steve

Steven J. Samuels
Consulting Statistician
18 Cantine's Island
Saugerties, NY 12477 USA
Voice: 845-246-0774
Fax:   206-202-4783 
sjsamuels@gmail.com


On Feb 26, 2011, at 4:26 PM, rado645-bg@yahoo.de wrote:

Dear all, 


is there a possibility to remove outliers in the highest 99th and lowest 1st 
percentile in stata before running regressions? I proceed currently by using 
sum, varlist, det after which I manually drop these observations. 


However it is rather time consuming when one needs to run a lot of regressions. 
I would be glad if you could share such stata command with me. 


Best,
Rado



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