Good evening everyone! I am working on a sample comprising about 17,000 observations (1 year and 17 firms). Unfortunately, I have some problems with heteroscedasticity that I cannot resolve. The Breusch-Pagan test is not significant, but White's test keeps being significant. In general, what can I do to face with the issue? Sorry for my question, this is the first time I have working with econometric models.
Thanks all in advance!
Marco