Multivariate residual‐based finite‐sample tests for serial dependence and ARCH effects with applications to asset pricing models
多元残差的有限样本序列相关与 ARCH 检验：资产定价应用
Abstract In this paper, we propose several finite‐sample specification tests for multivariate linear regressions (MLR). We focus on tests for serial dependence and ARCH effects with possibly non‐Gaussian errors. The tests are based on properly standardized multivariate residuals to ensure invariance to error covariances. The procedures proposed provide: (i) exact variants of standard multivariate portmanteau tests for serial correlation as well as ARCH effects, and (ii)…