period heteroskedasticity

[jack]

Dear Tom,
Does RATS offer a program to test for period heteroskedasticty?

Thanks.

[TomDoan]

Do you have a reference?

[jack]

No I don't have any reference. But it is a question for me that how one can find any evidence regarding the presence of heteroskedasticity in panel data model.
I would be grateful if you could possibly guide me.

[TomDoan]

Baltagi's Econometric Analysis of Panel Data has a page with some tests for heteroscedasticity. It's a bit thin since there are no examples, but you can see what's out there.