* Example generated by -dataex-. To install: ssc install dataex
clear
input int stock_id str52 stock float mdate byte time float(rt idiovol beta size bmratio mom rev illiq coskew idioskew)
1 "3M India Ltd." 510 1 .05207785 .0917159 .728636 5.772126 .2301245 -.13974656 -.10039777 .53863716 -9.826381 .741343
1 "3M India Ltd." 511 2 .05333333 .1186561 .7557594 5.822898 .23466666 -.12463696 .008666431 .08341017 -10.59874 .8733395
1 "3M India Ltd." 512 3 -.003164557 .0338021 .7641004 5.874875 .2227848 .12028617 .05207785 .11840295 -10.59904 .9627776
1 "3M India Ltd." 513 4 .003174603 .0558378 .6181145 5.871695 .23796825 .15732026 .05333333 .09225776 -17.38132 1.017631
1 "3M India Ltd." 514 5 -.008227848 .0225026 .6659399 5.874875 .2372152 .07240003 -.003164557 .48637635 -17.98597 1.058033
1 "3M India Ltd." 515 6 -.034620292 . .6515402 5.86661 .23918316 .16849355 .003174603 .26876998 -18.51118 1.10018
1 "3M India Ltd." 516 7 -.022806147 .0447686 .6263238 5.831355 .24785987 .186991 -.008227848 .06716504 -18.73217 1.29784
1 "3M India Ltd." 517 8 -.06308135 .0643021 .6145906 5.808293 .25364453 .11012773 -.034620292 .13017114 -17.98717 1.527457
1 "3M India Ltd." 518 9 -.13267148 .084525 .59209937 5.743131 .27072203 -.05206249 -.022806147 2.3642542 -12.11243 1.13165
1 "3M India Ltd." 519 10 .1862643 .1171338 .55323493 5.60079 .3351925 -.12617134 -.06308135 1.9620322 -15.2693 .28583
1 "3M India Ltd." 520 11 .10526316 .1154546 .7139889 5.771597 .2825614 -.1627062 -.13267148 2.644915 -17.68667 .38381
1 "3M India Ltd." 521 12 .06095238 .0747316 .7005213 5.871695 .2556508 -.000526177 .1862643 .07487273 -21.36877 .3219087
2 "A B B India Ltd." 510 1 .031069767 .0905763 .50186515 7.037915 .3767442 -.024300825 -.07641757 .06449259 -7.053874 .9268938
2 "A B B India Ltd." 511 2 .01930711 .0664654 .46918815 7.068512 .3931433 .16202657 .09270177 .03930691 -7.208749 .9409047
2 "A B B India Ltd." 512 3 -.004956629 .0326465 .4646652 7.087632 .3856966 .3383867 .031069767 .03146813 -7.526149 .9585953
2 "A B B India Ltd." 513 4 -.14659314 .047887 .3562272 7.082666 .4021704 .3880917 .01930711 .1093973 -2.476258 1.032589
2 "A B B India Ltd." 514 5 -.000208464 .1514549 .4090988 6.92414 .4712529 .3162546 -.004956629 .07628962 -2.743639 .0579131
2 "A B B India Ltd." 515 6 .036905754 .0800709 .4863302 6.923934 .4713511 .16189374 -.14659314 .02386482 -1.431137 .1245402
2 "A B B India Ltd." 516 7 .12306455 .039354 .4671087 6.960177 .4709431 .07487814 -.000208464 .02468353 -2.03507 .11236
2 "A B B India Ltd." 517 8 .14753805 .078451 .5041491 7.07624 .4193375 -.03244597 .036905754 .05760874 -2.584214 .2062848
2 "A B B India Ltd." 518 9 -.1015759 .0698819 .4845561 7.213857 .3654236 .05030429 .12306455 .009260001 16.52197 -.3169694
2 "A B B India Ltd." 519 10 .07033692 .0813391 .4809295 7.106745 .41392845 .18510276 .14753805 .04597291 9.059702 -.3749099
2 "A B B India Ltd." 520 11 .11487912 .0719442 .53784853 7.174716 .3867272 .15748493 -.1015759 .0758109 16.52873 -.5729252
2 "A B B India Ltd." 521 12 .07335177 .0411989 .6065983 7.283462 .3468782 .1368051 .07033692 .02363835 20.45452 -.6339179
3 "A C C Ltd." 510 1 -.1629956 .0494383 1.0135643 7.906322 .3757709 .08446016 .003982741 .000169294 -3.780895 .6208696
3 "A C C Ltd." 511 2 .03759399 .057254 1.0164183 7.728468 .4576692 .2166355 .05057851 .000326287 -3.636427 .7166465
3 "A C C Ltd." 512 3 -.001811594 .0478862 1.0125653 7.76537 .44108695 .066043414 -.1629956 .000302232 -3.862317 .7233284
3 "A C C Ltd." 513 4 -.036660615 .0545035 .9185891 7.763659 .4440653 .035401925 .03759399 .000416217 -.9943126 .4085064
3 "A C C Ltd." 514 5 .23247927 .0545389 .9776259 7.726332 .4609646 -.21417423 -.001811594 .00040734 -.620329 .0993094
3 "A C C Ltd." 515 6 .009477224 .0679345 .9839109 7.93543 .3740752 -.13447292 -.036660615 .000301316 -.0955215 .1465145
3 "A C C Ltd." 516 7 -.13416111 .048411 .9351818 7.944861 .3777105 .02194494 .23247927 .000308467 -.9959579 .2074354
3 "A C C Ltd." 517 8 .07764953 .0739988 .9043338 7.801068 .43609655 .009738361 .009477224 .000375364 -1.213868 .0164527
3 "A C C Ltd." 518 9 -.10094126 .085914 .9575355 7.875917 .4047387 -.07413296 -.13416111 .000380308 1.900243 .3630781
3 "A C C Ltd." 519 10 -.05487365 .0731907 .8840985 7.769539 .4547292 .02231796 .07764953 .000468042 -6.269318 .4172227
3 "A C C Ltd." 520 11 .11000764 .0545616 .8759854 7.713101 .4811306 -.08806377 -.10094126 .000592079 -3.216002 .2910195
3 "A C C Ltd." 521 12 .14934617 .0546525 .8888509 7.817489 .43344805 -.1938414 -.05487365 .000360854 2.097508 .2552451
4 "A D C India Communications Ltd." 510 1 -.1504425 .0897897 1.527426 3.663049 .8875516 -.04868094 -.10838446 .15264645 -10.04435 1.010176
4 "A D C India Communications Ltd." 511 2 .022916667 .0696889 1.4991747 3.500137 1.0645833 -.26892313 -.02809633 .478931 -9.47834 1.120804
4 "A D C India Communications Ltd." 512 3 -.09029192 .0908449 1.473083 3.522825 1.0407332 -.07940148 -.1504425 .7972757 -8.492423 1.342241
4 "A D C India Communications Ltd." 513 4 -.08955224 . 1.2794074 3.428164 1.1616418 -.024808513 .022916667 1.8302515 -12.26315 1.393121
4 "A D C India Communications Ltd." 514 5 .09180328 . 1.321978 3.334345 1.2759017 -.3187251 -.09029192 .568933 -11.6449 1.470866
4 "A D C India Communications Ltd." 515 6 .013513514 .0816319 1.2205865 3.422306 1.1686186 -.3550343 -.08955224 1.403591 -15.83261 1.53574
4 "A D C India Communications Ltd." 516 7 -.1525926 .075157 1.1036876 3.435599 1.1797037 -.2498118 .09180328 .5731305 -20.72038 1.794577
4 "A D C India Communications Ltd." 517 8 -.08216783 .0859583 1.1581147 3.269949 1.392133 -.20006445 .013513514 2.918923 -20.01536 1.855321
4 "A D C India Communications Ltd." 518 9 -.0895238 .1204352 1.2924528 3.1842844 1.516762 -.36199296 -.1525926 1.1755368 -16.89581 1.834721
4 "A D C India Communications Ltd." 519 10 .17573223 .1484415 1.321028 3.090588 1.7414227 -.6221114 -.08216783 .414616 -10.60291 2.17644
4 "A D C India Communications Ltd." 520 11 .18683274 .1644031 1.1657108 3.2523105 1.481139 -.6011787 -.0895238 .26050207 5.980072 1.166037
4 "A D C India Communications Ltd." 521 12 .11244377 .1989271 .9353671 3.423611 1.247976 -.410789 .17573223 .11136226 .8642985 1.321339
5 "A G C Networks Ltd." 510 1 -.2367297 .071817 1.7776214 5.452411 .39926785 .8099551 -.10675381 .012668496 -2.008504 1.368494
5 "A G C Networks Ltd." 511 2 .11510792 .1417156 1.8288053 5.182289 .53197443 .8759325 -.000609756 .019332485 -2.207755 1.411894
5 "A G C Networks Ltd." 512 3 -.06050179 .1398576 1.847679 5.291192 .4770609 .9781151 -.2367297 .02580632 -2.206439 1.394687
5 "A G C Networks Ltd." 513 4 -.1571799 .1039934 1.9271867 5.228753 .5256772 .9490805 .11510792 .05270022 -16.98932 1.389085
5 "A G C Networks Ltd." 514 5 .1819663 .0866766 1.8660675 5.057582 .6238117 .7598754 -.06050179 .033067085 -14.41975 1.471493
5 "A G C Networks Ltd." 515 6 .13311887 .1175809 1.7479874 5.224725 .5277671 .434956 -.1571799 .022889167 -18.17974 1.451653
5 "A G C Networks Ltd." 516 7 -.153035 .0672816 1.8438486 5.349865 .4909091 .12951286 .1819663 .008367621 -15.47684 1.404069
5 "A G C Networks Ltd." 517 8 -.07214685 .1157435 1.771812 5.183692 .57964885 .11400487 .13311887 .02172558 -10.7831 1.559955
5 "A G C Networks Ltd." 518 9 -.176845 .0434618 1.7264304 5.108729 .6247742 -.3036748 -.153035 .0481924 -1.276651 1.030801
5 "A G C Networks Ltd." 519 10 .065412745 .0687537 1.6099724 4.914198 .7905956 -.4569304 -.07214685 .09379279 -8.940264 .9531597
5 "A G C Networks Ltd." 520 11 .20047078 .1616858 1.618795 4.977492 .7421285 -.5386481 -.176845 .03792356 -8.306302 .8918644
5 "A G C Networks Ltd." 521 12 -.001633987 .1845315 1.5032448 5.160262 .6181372 -.4746759 .065412745 .017859912 -18.83033 .9789386
6 "Aarti Industries Ltd." 510 1 -.11272727 .0736996 . 4.383151 1.5577272 .7606374 .10981309 3.5199125 . .
6 "Aarti Industries Ltd." 511 2 .07172131 .1305479 . 4.263384 1.873954 .7152069 .15789473 8.524462 . .
6 "Aarti Industries Ltd." 512 3 -.05927342 .0837324 .5340315 4.332705 1.748526 .59189343 -.11272727 4.852062 -4.298619 .2721486
6 "Aarti Industries Ltd." 513 4 .067073174 .0846716 .29095903 4.2727695 1.9989848 .5726061 .07172131 19.9523 -2.924355 .2739745
6 "Aarti Industries Ltd." 514 5 -.034285713 .0633012 .25289702 4.3374214 1.873751 .51489896 -.05927342 7.869869 -4.783156 .265698
6 "Aarti Industries Ltd." 515 6 .025641026 . .2859934 4.3019004 1.9414955 .6321865 .067073174 5.380274 -4.501383 .2803007
6 "Aarti Industries Ltd." 516 7 .023076924 .105984 .24630985 4.3262496 2.0012832 .5517572 -.034285713 8.844972 -6.962467 .2519754
6 "Aarti Industries Ltd." 517 8 -.07518797 .1041367 .20042898 4.349245 1.9557993 .4190181 .025641026 5.612284 -9.001595 -.0277025
6 "Aarti Industries Ltd." 518 9 -.034552846 .051413 .344461 4.2710953 2.1149154 .424441 .023076924 7.338286 -11.18496 .0615053
6 "Aarti Industries Ltd." 519 10 .069473684 .1425339 .44265455 4.236567 2.103158 .13935553 -.07518797 20.2322 -11.70739 -.0012475
6 "Aarti Industries Ltd." 520 11 .07480315 . .4229978 4.304335 1.965246 0 -.034552846 7.427134 -11.24708 .1291737
6 "Aarti Industries Ltd." 521 12 .2765568 .0532721 .41676605 4.3755054 1.830229 -.07943683 .069473684 6.172074 -19.85964 -.0126953
7 "Aban Offshore Ltd." 510 1 -.01454716 .1616635 .7934055 4.364499 1.677616 .536468 .16863905 .27568695 1.907376 .3076815
7 "Aban Offshore Ltd." 511 2 .11904762 .1593376 .9350693 4.3497615 1.752 .839973 .3487342 .12449858 2.9744 .3753761
7 "Aban Offshore Ltd." 512 3 -.0719149 .1595069 .930231 4.462223 1.565617 1.0971848 -.01454716 .111181 3.17497 .396613
7 "Aban Offshore Ltd." 513 4 .07290234 .0699518 1.0041386 4.3876357 1.738377 1.147445 .11904762 .27724665 17.25444 .4062088
7 "Aban Offshore Ltd." 514 5 .14358975 .0848001 1.1255673 4.4579453 1.6202564 1.0372597 -.0719149 .2621013 16.49516 .4453102
7 "Aban Offshore Ltd." 515 6 .107997 .1112041 1.1992325 4.5921865 1.416816 1.137833 .07290234 .240048 17.54756 .4030659
7 "Aban Offshore Ltd." 516 7 .11298482 .0938857 1.205394 4.6947365 1.244317 1.3128272 .14358975 .16456696 19.93164 .4283593
7 "Aban Offshore Ltd." 517 8 -.08424243 .0936676 1.2734697 4.801805 1.118 1.3100206 .107997 .18487276 19.32786 .4419501
7 "Aban Offshore Ltd." 518 9 -.1528789 .0507527 1.4282002 4.7137556 1.220847 .8553097 .11298482 .6507711 .6497346 .6223291
7 "Aban Offshore Ltd." 519 10 .0609375 .0702426 1.445556 4.5478587 1.4485937 .8043339 -.08424243 .7413275 1.864021 .5414243
7 "Aban Offshore Ltd." 520 11 .4554492 .1707218 1.4533854 4.6069684 1.3653903 .4825824 -.1528789 .4639569 -.6797072 .769806
7 "Aban Offshore Ltd." 521 12 .495067 .1588599 1.377454 4.982305 .9381229 .24256885 .0609375 .14630084 -14.73992 .8392541
8 "Abbott India Ltd." 510 1 -.0880134 .037752 .47158355 6.180348 .3274099 .1107169 -.02148787 .08508382 -6.301948 1.068925
8 "Abbott India Ltd." 511 2 .013786765 .0385153 .4842104 6.088228 .3590074 .06510867 -.007652637 .12055866 -6.190862 1.265891
8 "Abbott India Ltd." 512 3 -.004533092 . .49346435 6.10191 .3541251 .10863384 -.0880134 .1603456 -5.911369 1.40919
8 "Abbott India Ltd." 513 4 .0564663 .0438339 .3424161 6.097377 .3832787 .11660513 .013786765 1.718447 -4.470796 1.451965
8 "Abbott India Ltd." 514 5 -.010344828 .0468644 .27984938 6.152307 .3627931 .06160415 -.004533092 .14157175 -4.913676 1.464376
8 "Abbott India Ltd." 515 6 -.02543554 .0409994 .27989966 6.141908 .3665854 .2003451 .0564663 .1517245 -3.645518 1.707177
8 "Abbott India Ltd." 516 7 .09617447 .0455453 .28707138 6.116135 .3687165 .15171462 -.010344828 .21580985 -2.411963 1.620872
8 "Abbott India Ltd." 517 8 .02609263 .0724428 .29192433 6.207966 .3363666 -.09638219 -.02543554 .015271345 -2.543012 1.889616
8 "Abbott India Ltd." 518 9 -.13715829 .0446494 .2225017 6.233724 .3480293 .000326211 .09617447 .012206397 -3.96243 .6325883
8 "Abbott India Ltd." 519 10 -.04715417 .0464689 .29565212 6.027748 .425419 .023965763 .02609263 .11409093 -4.465439 .5295605
8 "Abbott India Ltd." 520 11 .04774792 .0514049 .303146 5.979443 .4464721 -.10183617 -.13715829 .03045167 -2.773615 .5889145
8 "Abbott India Ltd." 521 12 .0789668 .0499418 .3377377 6.026083 .4261255 -.14245626 -.04715417 .018171808 -2.487709 .5782627
9 "Accelya Solutions India Ltd." 510 1 -.352459 .0902148 2.4291296 4.345881 .6719821 .7689072 .007930786 .007841749 -.5605962 .8591197
9 "Accelya Solutions India Ltd." 511 2 .25431532 .0791339 2.419326 3.911423 1.040046 .7498674 -.04005722 .02595398 .0380721 .8658273
9 "Accelya Solutions India Ltd." 512 3 -.13486238 .1268215 2.450457 4.1378827 .8291743 .6382929 -.352459 .017579073 -.179331 .8659876
9 "Accelya Solutions India Ltd." 513 4 -.14103924 .0755205 2.5982895 3.99305 .9664899 .3645697 .25431532 .015291488 -3.949402 .8701398
end
format %tm mdate


Appended above is the data file containing details of my variables in the cross sectional mode. I want to winsorize the variables in example data set in each cross-section (month) at the 0.5 and 99.5 % -tiles. I found a code that is suggested by Nick Cox. I modified this code to suit one of my variables: rt. You can see that below. In this code, the mdate is the month year variable. However, the original code uses month_id.

So, i have two queries about this code: One, that will this code serve my above stated purpose of winsorisation. Second, in this code if a month_id is required to be there instead of mdate, then how can the code be modified to create such id or else will mdate work in the given case?

egen rank = rank(rt), by(mdate)
egen count = count(rt), by(mdate)
gen pp = (rank - 0.5)/count
egen p005 = min(rt / (pp >= 0.005)), by(mdate)
egen p995 = max(rt / (pp <= 0.995)), by(mdate)
gen rtW = max(p005, min(rt, p995))

Thanks in anticipation!