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http://dx.doi.org/10.5351/KJAS.2006.19.3.461

Test of Model Specification in Panel Regression Model with Two Error Components  

Song, Seuck-Heun (Dept. of Statistics, Korea University)
Kim, Young-Ji (Commercial Actuarial Team, LG Insurance Co.)
Hwang, Sun-Young (Dept. of Statistics, Sookmyung University)
Publication Information
The Korean Journal of Applied Statistics / v.19, no.3, 2006 , pp. 461-479 More about this Journal
Abstract
This paper derives joint and conditional Lagrange multiplier tests based on Double-Length Artificial Regression(DLR) for testing functional form and/or the presence of individual(time) effect in a panel regression model. Small sample properties of these tests are assessed by Monte Carlo study, and comparisons are made with LM tests based on Outer Product Gradient(OPG). The results show that the proposed DLR based LM tests have the most appropriate finite sample performance.
Keywords
Panel Data Model; Model Specification; LM Tests; DLR; OPG;
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