Designed to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary...

This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are...