Hey, Thanks for your reply! I have access to 9.4 (SAS/ETS 13.2).   To correct  heteroscedasticity, I have succesfully tried and used:   proc panel data=mydata; model y=x1 x2 x3 x4/RANTWO HAC(BANDWIDTH=NEWEYWEST94); id firm time;run;   Could you please suggest some way through which I can check for hetroscedsaticty in my panel data before looking for any correction ? Thanks. Rohit   ... View more

@Ksharp Many, many thanks for your help and interest! I've implemented some changes but it does the trick! ... View more