We develop a novel approach to build checks of parametric regression models when many regressors are present, based on a class of sufficiently rich semiparametric alternatives, namely single-index models. We propose an omnibus test based on the kernel method that performs against a sequence of...

This paper proposes a test for common GARCH factors in asset returns. Following Engle and Kozicki (1993), the common GARCH factors property is expressed in terms of testable overidentifying moment restrictions. However, as we show, these moment conditions have a degenerate Jacobian matrix at the...