  We propose a new testing procedure of heteroskedasticity in high-dimensional
linear regression, where the number of covariates can be larger than the sample
size. Our testing procedure is based on residuals of the Lasso. We demonstrate
that our test statistic has asymptotic normality under the null hypothesis of
homoskedasticity. Simulation results show that the proposed testing procedure
obtains accurate empirical sizes and powers. We also present results of real
economic data applications.
