[Jessica Sardinha]

Ok. I understand that I have to use the xtgls. Ok!
But I didn't understand how can I test the heteroskedasticity before use xtgls?

[Carlo Lazzaro]

Jessica:
the link I pasted in my previous reply should take you to How do I test for panel-level heteroskedasticity and autocorrelation? teaching note by Vince Wiggins & Brian Poi.