Figure 8.10: Heteroscedastic and Autocorrelated Series To test for heteroscedasticity with PROC AUTOREG, specify the ARCHTEST option. The following statements regress Y on TIME and use the ARCHTEST ...

There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...

Doss, Charles R., and Edward McFowland III. "Nonparametric Subset Scanning for Detection of Heteroscedasticity." Journal of Computational and Graphical Statistics 31, no. 3 (2022): 813–823.