In panel data regression, should I check for classical assumptions?

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James R Knaub

Akhmad -

Well, regarding heteroscedasticity in regression, as long as there are different predicted y values, I think that you should expect heteroscedasticity. (See https://www.researchgate.net/publication/320853387_Essential_Heteroscedasticity.) There are also other possible causes, such as omitted variables and data quality issues. (See https://www.researchgate.net/publication/324706010_Nonessential_Heteroscedasticity.)

Heteroscedasticity is not generally a matter of is it or is it not present, but rather a matter of degree. How much is present? What is the impact on results? If you estimate the coefficient of heteroscedasticity, you can test to see the impact.

Cheers - Jim

Akhmad Solikin

Thank your response James R Knaub