Juhl, Ted; Sosa-Escudero, Walter - In: Journal of Econometrics 178 (2014) P3, pp. 484-494
We derive tests for heteroskedasticity after fixed effects estimation of linear panel models. The asymptotic results are based on a ‘large N–fixed T’ framework, where the incidental parameters problem is bypassed by utilizing a (pseudo) likelihood function conditional on the sufficient...