the panel include i=1,...,6 and t=1,...,19; with a lag dependent variable in regressors
There are several ways to test for heteroscedasticity, including
Breusch–Pagan's one, Brown–Forsythe's, Cook–Weisberg's, Harrison–McCabe's, Glejser's, Goldfeld–Quandt's, Levene's , Park's, and last but not least (perhaps, the most commonly used), the White's test.
But each one has its proper conditions of use.
Please, could you give more details on your data and your problem ?
Best regards
Breusch-Pagan and Whites Test is mostly used and popular for heteroscedasticity
The well-known test is BP (Breusch-pagan) which can be run easily in the economic softwares.
Yes indeed,
There are a variety of tests for cross-section dependence in the literature. EViews offers the following tests:
•Breusch-Pagan (1980) LM
•Pesaran (2004) scaled LM
•Baltagi, Feng, and Kao (2012) bias-corrected scaled LM
•Pesaran (2004) CD
These four tests may be computed from panel and pool equations estimated by least squares and instrumental variables. They may also be computed for series in a panel workfile.
The most straighforward and widely used approach is just to use robust standard errors (Huber-White-Sandwich), which is available in any statistical software.
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