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Thank you for the tip! The only thing is that if I use this equation, the large changes that are related to an FOMC announcement are also dropped, while these should not be dropped. So I would like to drop all variables that satisfy the equation:futures >0.05 AND dummy=0. (so not futures>0.05 and du...

Hello, I have an equation including the change in the futures rate and a dummy variable on days when there was an FOMC announcement (then the dummy is 1). Could somebody please tell me how I can drop outliers on the change in the futures rate (for example, changes in futures rates over 0.05), but th...