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http://dx.doi.org/10.5351/KJAS.2003.16.2.351

Test of Linearity in Panel Regression Model  

송석헌 (고려대학교 통계학과)
최충돈 (LG화재 CRM팀.)
Publication Information
The Korean Journal of Applied Statistics / v.16, no.2, 2003 , pp. 351-364 More about this Journal
Abstract
This paper derives Lagrange multiplier tests based on Double-Length Artificial Regression and Outer-Product Gradient for testing linear and log-linear panel regressions against Box-Cox alternatives. The proposed DLR based LM tests are easy to implement in an error component model. From the Monte Carlo study, the DLR based LM tests are recommended for testing functiona forms.
Keywords
Panel regression model; model specification; LM tests; artificial regression;
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