In this thesis, I contribute to the literature on multiple comparisons and specification testing for multivariate models, through the lens of model selection procedures in asset pricing.In the first chapter, I provide a model selection procedure for multivariate models, generalizing the model confidence set (MCS) procedure to systems of N > 1 dependent variables. A (1 − α) level MCS collects the set of models with equal predictive ability, based on a sequential elimination procedure that relies on an equivalence test.I introduce supremum-type t and Hotelling-type T 2 statistics which account for correlation between loss differentials. I assess the performance of 14 candidate asset pricing models using monthly data for the period 1972-2013. I find that for out-of-sample tests, only a single model is ever selected by the procedure, but the MCS often includes multiple models for in-sample tests. Overall, out-of-sample tests and a larger number of more heterogenous test assets provide more information to disentangle models. The procedure shows good size and power properties in simulations.I thank my committee members, Ba Chu, Maral Kichian, and Matthew Webb for the insightful discussions and feedback they have provided. I also thank the faculty members and the administrative staff at the Economics department, for their support and encouragement throughout my PhD. Louis-Philippe Beland and Konstantinos Metaxoglou deserve a special mention for their tremendous help during the job market season.Finally, I would like to thank my wife, Sappaya, without whose endless support and patience completing my PhD would not have been possible.