This paper provides a simple approach for robust testing for the trend function in the time series under uncertainty over the order of integration of the error term. The proposed approach relies on the asymptotic normality of the trend coefficient estimator and utilises t-statistic approach of...

We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, persistent and/or fat-tailed regressors and errors. The proposed robust testing approaches are applicable both in the...

Empirical analyses on income and wealth inequality and those in other fields in economics and finance often face the difficulty that the data is heterogeneous, heavy-tailed or correlated in some unknown fashion. The paper focuses on applications of the recently developed \textit{t}-statistic...