Re: st: Confusion with Winsorizing

[Nick Cox <njcoxstata@gmail.com>]

A more mundane problem to watch out for is the occurrence of ties. For
example, if 5 + something% of values equal the smallest value, the
smallest Winsorized value will occur with relative frequency 5 +
something%, not 5%.
Nick
njcoxstata@gmail.com


On 15 January 2014 17:44, Nick Cox <njcoxstata@gmail.com> wrote:
> I would never overwrite existing data with Winsorized data. Doing that
> may already have messed up results irretrievably if there is some
> mistake in what you are doing.
>
> A smaller objection is that the local macros are unneeded here.
> Assuming that the abbreviation -Postt- works,
>
> clonevar PostW = Postt
> forvalues e=1/55 {
>      sum Postt if (Postt != 0 & Event`e'  == 1) , de
>      replace PostW = r(p95) if (Event`e' ==1 & Postt > r(p95))
>      replace PostW = r(p5) if (Event`e' ==1 & Postt < r(p5))
> }
>
> That still leaves your major question. An implicit assumption here is
> that the values of 1 for -Event*- are disjoint, i.e. any value of such
> a variable being 1 rules out the same for any other such variable. We
> have no information on that from you.
>
> Nick
> njcoxstata@gmail.com
>
>
> On 15 January 2014 17:30, Nima Darbari <ramharz@gmail.com> wrote:
>> I have written the simple code below to Winsorize a figure in 55
>> different events separately but perhaps due to a funny mistake it
>> doesn't work properly.
>>
>> forvalues e=1(1)55{
>> sum PostturnoverFirm if (PostturnoverFirm !=0 & Event`e' ==1) , de
>> local p95=r(p95)
>> local p5=r(p5)
>> replace PostturnoverFirm = `p95' if (Event`e' ==1 & PostturnoverFirm > `p95')
>> replace PostturnoverFirm = `p5' if (Event`e' ==1 & PostturnoverFirm < `p5')
>> }
>>
>>
>> Bigger than the 95 percentile line works correctly but the smaller
>> than 5 percentile line replaces the figure for almost all of the rest
>> of observations. Does anyone know whats wrong with this?
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