[Gretl-users] Re: Determine the quantile value for a list of series
Hi again,
Thanks for all the replies so far. Allin's solution comes up with five quantiles, one
for each series, but what I would like to do is to have just one quantile scalar for the
whole five series. Each of the five series has 20 observations. Thus, in total I have 100
observations. I want to trim or winsorise at the 90 quantile for example, so to exclude
the top 5% and the bottom 5% observations, no matter whether they come all from series 1,
or one from each of the five series.
What I need is to treat all the series as if just one, to then determine the quantile
value.
F.R.Costa
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Jul 22, 2020, 03:21 by cottrell(a)wfu.edu:
On Tue, 21 Jul 2020, F.R.Costa wrote:
> Hi all,
>
> I'm trying to determine the quantile value (as a scalar) for a list of series and
I really don't know how to do it. Let's say I want p=0.7 on the following
example:
>
> <hansl>
> open greene13_1.gdt
> list list_mv = F_GM F_CH F_GE F_WE F_US
> </hansl>
>
> Basically I have a list of 5 series with market values and I want to determine
extreme values in order to proceed with winsorisation. But the quantile function seems not
tailored for this.
>
The quantile() function takes either a series or a matrix argument, so your options are:
(1) Loop across the series members of the list:
loop foreach i list_mv
eval quantile($i, 0.7)
endloop
(2) Turn the list into a matrix on the fly, one series by column (and get a row vector
result):
eval quantile({list_mv}, 0.7)
Allin
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