• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.461-479
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• 2006

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.