Using spdep in R, and after conducting a Jarque-Bera test confirming non-normality of the residuals resulting from the maximum likelihood estimation of my Spatial Error Model, I used the generalized moments technique (GMerrorsar). Now I want to test if the residuals from the GMerrosar present problems of heteroscedaticity in order to decide whether to stay at this step or go to estimate a SHAC model.
What test in spdep can check heteroscedasticity from an GMerrorsar model ?
I see that the Breusch-Pagan (bptest.sarlm) test is not applicable in this case.
