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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) exact versions of the diagnostics presented by Shanken (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib45\">1990<\/jats:ext-link>) which are based on combining univariate specification tests. Specifically, we combine tests across equations using a Monte Carlo (MC) test method so that Bonferroni\u2010type bounds can be avoided. The procedures considered are evaluated in a simulation experiment: the latter shows that standard asymptotic procedures suffer from serious size problems, while the MC tests suggested display excellent size and power properties, even when the sample size is small relative to the number of equations, with normal or Student\u2010<jats:italic>t<\/jats:italic> errors. The tests proposed are applied to the Fama\u2013French three\u2010factor model. Our findings suggest that the i.i.d. error assumption provides an acceptable working framework once we allow for non\u2010Gaussian errors within 5\u2010year sub\u2010periods, whereas temporal instabilities clearly plague the full\u2010sample dataset. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1092","type":"journal-article","created":{"date-parts":[[2009,12,8]],"date-time":"2009-12-08T16:10:53Z","timestamp":1260288653000},"page":"263-285","source":"Crossref","is-referenced-by-count":16,"title":["Multivariate residual\u2010based finite\u2010sample tests for serial dependence and ARCH effects with applications to asset pricing models"],"prefix":"10.1002","volume":"25","author":[{"given":"Jean\u2010Marie","family":"Dufour","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Lynda","family":"Khalaf","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Marie\u2010Claude","family":"Beaulieu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2010,1,27]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1989.tb02629.x"},{"key":"e_1_2_10_3_1","first-page":"294","article-title":"Comment on \u2018The spectral analysis of point processes\u2019 by M. 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