Some results on multiple regression analysis with data cleaned by trimming and winsorization

In a multiple regression model setup, we examine the effects of trimming and winsorization of regressors on the regression estimates and their efficiency. The exact results developed here to enable us to evaluate the effects of winsorizing one regressor on the estimates of the coefficients associated with another regressor. These results have important implications in accounting and finance literature wherein trimming or winsorization is frequently adopted before performing regression analysis.