Summary In this paper, we develop a general method of testing for independence when unobservable generalized errors are involved. Our method can be applied to testing for serial independence of generalized errors, and testing for independence between the generalized errors and observable covariates. The former can serve as a unified approach to testing the adequacy of time series models, as model adequacy often implies that the generalized errors obtained after a suitable transformation are independent and identically distributed. The latter is a key identification assumption in many nonlinear economic models. Our tests are based on a classical sample dependence measure, the Hoeffding–Blum–Kiefer–Rosenblatt-type empirical process applied to generalized residuals. We establish a uniform expansion of the process, thereby deriving an explicit expression for the parameter estimation effect, which causes our tests not to be nuisance-parameter-free. To circumvent this problem, we propose a multiplier-type bootstrap to approximate the limit distribution. Our bootstrap procedure is computationally very simple as it does not require a re-estimation of the parameters in each bootstrap replication. Simulations and empirical applications to daily exchange rate data highlight the merits of our approach.