Wooldridge (2013) says that the Breusch-Godfrey test "requires the homoscedasticity assumption".

I tested for heteroscedasticity in my model by applying the Breusch-Pagan test. The test indicates that my residuals are not homoscedastic. As a next step I am trying to decide wether the residuals are autocorrelated or not. I applied the Breusch-Godfrey test, which indicates that the residuals are autocorrelated.

Is the result of the Breusch-Godfrey test valid in this case? If not - how do I test for autocorrelation in the presence of heteroscedasticity?

Thank you.


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