Unfortunately, the event propagation system doesn't work in
GWTTestCase - so that means you can't send a click() message to a
Button and expect the registered ClickListeners to be notified. This
means you wouldn't be able to test clicking on an Anchor in a test and
verifying any resulting behavior, even if Anchor supported such a
method - which I'm not sure it does.
I'd recommend moving all the behavior out of any anonymous
ClickListeners and put them onto a "controller" or "presenter" object,
then unit test those classes using standard JUnit test cases. You
won't be able to verify the callbacks are wired to the correct object,
but in my experience that was easiest to check with some manual
exploratory testing, or some very basic Selenium tests to exercise the
system (without going into exhaustive scenario tests, since these were
easier to test with unit tests).
I've written about my experiences with testing GWT applications here,
if it's helpful: