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
testing for heteroskedasticity - panel data
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Re: testing for heteroskedasticity - panel data
There are many forms of heteroskedastic alternatives against which you can test. In which forms are you interested?
Re: testing for heteroskedasticity - panel data
I want to do the White test or Breusch-Pagan-Godfrey test
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