I have not read any study done on it but I will look around for you... most of the extra weight would be water weight. I guess it could raise your overall body temp not sure if that would have an effect on burning more calories. As far as training though I see it being detrimental overheating could weakin your lifts making you lose water and electrolytes. Be careful if you do try it though I know it can cause a lot of harm if you take it to far.
Having said that in the winter I usually wear them in the begining to warm up keeps my muscles looser. Once I feel warmed up i take it off.