@unpublished {661582, title = {An estimator for predictive regression: reliable inference for financial economics}, year = {Working Paper}, abstract = {Estimating linear regression using least squares and reporting robuststandard errors is very common in financial economics, and indeed, much ofthe social sciences and elsewhere.\  \ For thick tailed predictors underheteroskedasticity this recipe for inference performs poorly, sometimesdramatically so. Here, we develop an alternative approach which delivers anunbiased, consistent and asymptotically normal estimator so long as themeans of the outcome and predictors are finite.\  The new method hasstandard errors under heteroskedasticity which are easy to reliably estimateand tests which are close to their nominal size. The procedure works wellin simulations and in an empirical exercise.\  An extension is given toquantile regression.}, author = {Neil Shephard} }