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...

The present paper develops a new unified approach to the analysis of efficiency, peakedness and majorization properties of linear estimators. It further studies the robustness of these properties to heavy-tailedness assumptions. The main results show that peakedness and majorization phenomena...

We develop a general approach to robust inference about a scalar parameter when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Sz´ekely (2005) concerning the small sample properties of the standard t-test:...