/*****************************************
Trim or winsorize macro
* byvar = none for no byvar;
* type = delete/winsor (delete will trim, winsor will winsorize;
*dsetin = dataset to winsorize/trim;
*dsetout = dataset to output with winsorized/trimmed values;
*byvar = subsetting variables to winsorize/trim on;
****************************************/
%macro winsor(dsetin=, dsetout=, byvar=none, vars=, type=winsor, pctl=1 99);
%if &dsetout = %then %let dsetout = &dsetin;
%let varL=;
%let varH=;
%let xn=1;
%do %until ( %scan(&vars,&xn)= );
%let token = %scan(&vars,&xn);
%let varL = &varL &token.L;
%let varH = &varH &token.H;
%let xn=%EVAL(&xn + 1);
%end;
%let xn=%eval(&xn-1);
data xtemp;
set &dsetin;
run;
%if &byvar = none %then %do;
data xtemp;
set xtemp;
xbyvar = 1;
run;
%let byvar = xbyvar;
%end;
proc sort data = xtemp;
by &byvar;
run;
proc univariate data = xtemp noprint;
by &byvar;
var &vars;
output out = xtemp_pctl PCTLPTS = &pctl PCTLPRE = &vars PCTLNAME = L H;
run;
data &dsetout;
merge xtemp xtemp_pctl;
by &byvar;
array trimvars{&xn} &vars;
array trimvarl{&xn} &varL;
array trimvarh{&xn} &varH;
do xi = 1 to dim(trimvars);
%if &type = winsor %then %do;
if not missing(trimvars{xi}) then do;
if (trimvars{xi} < trimvarl{xi}) then trimvars{xi} = trimvarl{xi};
if (trimvars{xi} > trimvarh{xi}) then trimvars{xi} = trimvarh{xi};
end;
%end;
%else %do;
if not missing(trimvars{xi}) then do;
if (trimvars{xi} < trimvarl{xi}) then delete;
if (trimvars{xi} > trimvarh{xi}) then delete;
end;
%end;
end;
drop &varL &varH xbyvar xi;
run;
%mend winsor;
/* invoke macro to winsorize */
%winsor(dsetin=myLib3.t_singleObs, dsetout=myLib3.u_finalWinsorized, byvar=none,
vars= car_ln preAnnRet_ln unex loss_unex, type=winsor, pctl=1 99);
proc sort data = myLib3.u_finalWinsorized; by capn;
/* regression by size decile */
PROC REG OUTEST = myLib3.v_regOutput data=myLib3.u_finalWinsorized;
ID capn;
MODEL car_ln = preAnnRet_ln unex loss loss_unex/ NOPRINT;
by capn;
RUN ;
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