Stata Xtregfem provide the following Groupwise Heteroscedasticity Tests after ridge regression:
e(lmhglm) Lagrange Multiplier LM Test
e(lmhglmp) Lagrange Multiplier LM Test P-Value
e(lmhglr) Likelihood Ratio LR Test
e(lmhglrp) Likelihood Ratio LR Test P-Value
e(lmhgw) Wald Test
e(lmhgwp) Wald Test P-Value
RIDGEREG: Stata module to compute Ridge Regression Models,
lm.ridge in the MASS package and ridge package in R can do ridge regression. but it seems that these two packages have no function for the tests you mentioned.
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