Dear community, this is my first post and I hope someone help me:
In an working paper I read: "To avoid the effect of outliers, we winsorized the observations [time series panel data] following Cleary (1999). The cutoff value are -2 and 2 for "var1[_t-1]", -5 and 5 per "var 2[_t-1]", 1 and 0 for "var3".
Note: [_t-1] means a value taken in (t-1).
Given these three variables (var1, var2 and var3), could somebody tell me how to "winsorize" this way? Thank you.
Carmine
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