I watched this video on how to check for heteroskedasticity using Stata, and it helped me a lot. But the data example in the video was time series data.
He used the Bruesh-Pagan test.
hettest dependntvar1 dependvar2 dependvar3 ... dv6
And the output was like
Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: dependntvar1 dependvar2 dependvar3 ... dv6 chi2(6) = 86.56 Prob > chi2 = 0.0000
The Ho had a p-value of 0.0000 so it had heteroskedasticity.
Does it work the same for panel data?
If not, how do I test for heteroskedasticity on panel data?