The paper proposes t-statistic group inference and hybrid Cauchy-OLS tests that reduce size distortions in predictive regressions under endogeneity, near nonstationarity, heavy tails, and persistent volatility.
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Robust Cauchy-Based Methods for Predictive Regressions
The paper proposes t-statistic group inference and hybrid Cauchy-OLS tests that reduce size distortions in predictive regressions under endogeneity, near nonstationarity, heavy tails, and persistent volatility.