Remove empty entries from list of list of strings

Question

I'm looking for a more efficient way of removing empty string values from a list of a list of strings.

The code below works but for a very large data set this seems inefficient. Is there a more efficient way to do this?

FYI - The beginning is just to build a Data Set to have a list of a list that contains empty strings

public static void Main()
{       
    //Building the data set
    List<List<string>> list = new List<List<string>>();
    list.Add(new List<string> {"One", "Two", "", "Eight"});
    list.Add(new List<string> {"Three", "Five", "Six"});
    list.Add(new List<string> {"Sixteen", "", ""});
    list.Add(new List<string> {"Twenty-Eight", "Forty", "Nine"});

    //Create an empty List of a List
    List<List<string>> newList = new List<List<string>>();

    //Loop through the original list and purge each list of empty strings
    for(int i = 0; i < list.Count; i++) {
        newList.Add(list[i].Where(x => !string.IsNullOrEmpty(x)).ToList());
    }

    foreach (var s in newList) {
        Console.WriteLine(string.Join(", ", s));    
    }

    /*
    CORRECT OUTPUT:
        "One", "Two", "Eight"
        "Three", "Five", "Six"
        "Sixteen"
        "Twenty-Eight", "Forty", "Nine"         
    */      
}

Answer 1

Why not use the List<T>.RemoveAll() method? Definition:

Removes all the elements that match the conditions defined by the specified predicate.

foreach (var l in list)
{
    l.RemoveAll(x => string.IsNullOrEmpty(x));
}

That is all you need. Other answer have Select().Where() and twice ToList(), which is way too much overhead for a simple action like this.