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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

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

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