1 Introduction2 Panel data3 Data filtering4 Concept of heteroskedasticity in panel data5 Testing for stationarity in heteroscedastic panel data6 Testing for heteroskedasticity in panel data7 Heteroskedasticity removing filters8 Panel data modeling techniques9 Monte Carlo simulation scheme10 Estimation10.1 Plot of response variable for replicates of 10,000 when N = 20 and T = 1010.2 Plot of filtered response variable for replicates of 10,000 when N = 20; T = 10