Multicollinearity impacts heteroscedasticity detection in linear regression models.
Heteroscedasticity and multicollinearity can mess up econometrics data analysis. This study looked at how multicollinearity affects detecting heteroscedasticity in linear regression models. They tested nine methods on a simulated model with 3 variables and found that the Breusch-Godfrey test is the best at spotting heteroscedasticity when multicollinearity is present.