Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and...

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...