The command winsorize winsorizes observations based 5 times the interquartile.

• By default, outliers are defined as observatations with a distance to median higher than 5 times the interquartile. You can also use the option p(pmin pmax) to define outliers as the values below and above the specified percentiles. Use 0 for pmin or 100 for `pmax' to avoid defining outliers in one direction
• With the option replace, variable is replaced by top coded one. With the option gen, a new variable is created
• with the option missing, outliers are replaced by missing values rather than top coded
• with the option by, outliers are defined within groups defined by the list of variables in by

The overall syntax is

winsorize [varlist] [if] [in] [, p(pmin pmax) replace gen(varlist) trim by(varlist)]

sysuse nlsw88.dta, clear
winsorize hours, replace
winsorize hours, p(1 99) replace
winsorize hours, p(0 99) replace
winsorize hours, gen(newhours)

Installation

net install winsorize, from("https://raw.githubusercontent.com/matthieugomez/winsorize.ado/master/")

If you have a version of Stata < 13, you need to install it manually

1. Click the "Download ZIP" button in the right column to download a zipfile.

2. Extract it into a folder (e.g. ~/SOMEFOLDER)

3. Run

   cap ado uninstall winsorize
   net install winsorize, from("~/SOMEFOLDER")