testing for heteroskedasticity - panel data

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resp133
Posts: 2
Joined: Mon Nov 03, 2014 3:48 pm

testing for heteroskedasticity - panel data

Postby resp133 » Mon Nov 03, 2014 3:57 pm

Hello,

I am trying to test for heteroskedasticity in panel data. My data is structured as Dated Panel. In the regression output, I selected View – Residual diagnostics, but there is no Heteroskedasticity test.
When I change my data to undated/unstructured, under View – Residual diagnostics i able to do the Heteroskedasticity test.

Is the p-value from undated/unstructured Heteroskedasticity test similar to the value if I would be able to do it in the Dated Panel structure. Can I do it like this? If not, what is the way to test for heteroskedasticity in panel data?

Thank you
Martin

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: testing for heteroskedasticity - panel data

Postby EViews Glenn » Tue Nov 04, 2014 11:20 am

There are many forms of heteroskedastic alternatives against which you can test. In which forms are you interested?

resp133
Posts: 2
Joined: Mon Nov 03, 2014 3:48 pm

Re: testing for heteroskedasticity - panel data

Postby resp133 » Tue Nov 04, 2014 1:57 pm

I want to do the White test or Breusch-Pagan-Godfrey test


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