Based on the level of respect or formality, you can say "I'm kidding" in Korean in 3 ways:

• Informal: nongdam-iya (농담이야)
• Formal: nongdam-iyeyo (농담이예요), nongdam-ipnida (농담입니다)
• Very Formal: nongdam-ipnida (농담입니다)

- I: na-neun (나는), jeo-neun (저는) - omitted here
- kidding: nongdam hada (농담하다)

Please refer to How to pronounce Korean Alphabet for the English pronunciation in this answer.