I need to perform a winsorization in a big set of data. I found an add in for excell that does that automatically, but unfortunately it only gives options with percents, whereas I was looking for a winsorization with standard deviations. Any of you knows how to perform this in an automated way?
Linda,
You can do it by using Stata's winsor2 command. I recommend that you check the code. In excel, it would be a tougher way than in Stata.
Thanks Omer, unfortunately I do not work with Stata. I only use Excel, SPSS and R (very rarely).
In R, in the psych package, there are functions winsor, winsor.mean, winsor.sd... but I don't know if these will do what you're asking....
I use the STATA command winsor2 to deal with outliers. This command creates a new variable by adding a suffix “_w” to the name of the original variable. By default, winsor2 changes observations which have values that are less than the 1st percentile to the 1 percentile, and it changes values that are greater than the 99th percentile to be equal to the 99th percentile. Interestingly, the command allows also for adjusting the values of the percentile. Note: you have to be careful with the statistical bias that might emerge from using this command.
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