topic Winsorise panel data in SAS Programming

Winsorise panel data

Baolinhdo — Fri, 10 Apr 2020 12:03:52 GMT

Hi, I am a new SAS user, I have panel data with many months and many stocks each month. I also have 10 other variables associated with each stock each month.I want to winsorise data following the instruction below:

-For a particular observation, for example, Var_1(i,t) (Variable 1 of stock i in month t), to winsorize it, first calculate the 5th and 95th percentiles of that variable in the dataset that includes all stocks and all time periods from the start of the sample up until time t.

-If Var_1(i,t) is less than the 5th percentile, set its value to the 5th percentile value. If Var_1(i,t) is greater than the 95th percentile, set its value to the 95th percentile value.

-Repeat for all observations.

-Repeat for all variables.

Thank you.

Re: Winsorise panel data

PaigeMiller — Fri, 10 Apr 2020 12:06:49 GMT

PROC UNIVARIATE has a WINSORIZED= option, seems like that is what you need.

https://documentation.sas.com/?cdcId=pgmsascdc&cdcVersion=9.4_3.4&docsetId=procstat&docsetTarget=procstat_univariate_syntax01.htm&locale=en#procstat.univariate.proc_winsorized

Re: Winsorise panel data

Ksharp — Fri, 10 Apr 2020 12:19:48 GMT

@Rick_SAS wrote a blog before.

Here is winsorized data code , JUST for one group .

And you need SAS/IML .

data have; /*Winsorized Data*/
 do i=1 to 100;
  a=ceil(ranuni(1)*100);
  b=ceil(ranuni(2)*100);
  output;
 end;
 drop i;
run;


%let low=0.05 ;
%let high=0.95 ;

proc iml;
use have;
read all var _num_ into x[c=vname];
close have;
call qntl(q,x,{&low ,&high});

do i=1 to ncol(x);
 x[loc(x[,i]<q[1,i]),i]=q[1,i];
 x[loc(x[,i]>q[2,i]),i]=q[2,i];
end;

create want from x[c=vname];
append from x;
close want;

quit;

Re: Winsorise panel data

kelxxx — Fri, 10 Apr 2020 12:37:25 GMT

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Re: Winsorise panel data

Rick_SAS — Fri, 10 Apr 2020 14:50:58 GMT

First read "Winsorization: The good, the bad, and the ugly."

After reading, if you still want to Winsorize , see "How to Winsorize data in SAS."

Re: Winsorise panel data

Baolinhdo — Sat, 11 Apr 2020 00:21:47 GMT

Thanks! I wonder how the part “from the start of the sample until time t” will be resolved? Should I use a do loop?

It seems like the most critical part in my question is until time t for each observation rather than winsorising the whole sample at once?

Re: Winsorise panel data

Baolinhdo — Sat, 11 Apr 2020 05:10:36 GMT

Hi, minh ko co zalo sorry b
Thank you nhe