BP statistic cannot be used with unbalanced data: In the case of unbalanced panels, neither the BP nor BP2 statistics are valid [1] Perhaps there is an alternative test to use: For incomplete (or unbalanced) panels, the Breusch-Pagan test can be easily extended, see Moulton and Randolph (1989) for the one-way error components model [2, 3] References [1] Proc Panel: Specification Tests [2] Baltagi, "Panel Data Methods" [3] Moulton, Brent R., and William C. Randolph. “Alternative Tests of the Error Components Model.” Econometrica, vol. 57, no. 3, 1989, pp. 685–693. JSTOR, JSTOR, www.jstor.org/stable/1911059.
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