This paper proposes a residual-based Lagrange Multiplier (LM) test for slope homogeneity in large-dimensional panel data models with interactive fixed effects. We first run the panel regression under ...

LM Tests for the Unbalanced Nested Panel Data Regression Model with Serially Correlated Errors Badi H. Baltagi, Seuck Heun Song and Byoung Cheol Jung Annales d'Économie et de Statistique , pp. 219-268 ...