I have performed a logistic regression to estimate the default probability of a dataset of firms based on some basic balance-sheet ratios. I have winsorized all the ratios at the 1st and 99th percentile.
My question is: now that I want to use my estimated model on a new dataset for forecasting purposes, should I also winsorize this dataset as I did for the calibration dataset?
For example: if firm X in the forcasting dataset has a turnover of 1.1 billion but the 99% percentile in the forcasting dataset is 1 billion, should I change the turnover value for firm X to 1billion.
Thanks a lot.