Nick is right in his point about multivariate outliers. As a matter of fact, I have seen many papers in Finance that winsorize or drop values that are 3 SD away from mean values. In that case, we can adopt the following code
Regards
Attaullah Shah
sysuse auto
foreach x of varlist price mpg{
sum `x'
drop if (`x' -(r(mean))>(3*r(sd)))
}
foreach x of varlist price mpg{
sum `x'
drop if (`x' -(r(mean))>(3*r(sd)))
}
Attaullah Shah
Comment