Authors and Citation

Authors

• Emilio González-Coya. Author, maintainer, copyright holder.

Citation

Perron P, González-Coya E (2026). “Feasible GLS for Time Series Regression.” Journal of Econometrics, 258, 106346. doi:10.1016/j.jeconom.2026.106346.

@Article{,
  title = {Feasible {GLS} for Time Series Regression},
  author = {Pierre Perron and Emilio González-Coya},
  journal = {Journal of Econometrics},
  year = {2026},
  volume = {258},
  pages = {106346},
  doi = {10.1016/j.jeconom.2026.106346},
}

González-Coya E, Perron P (2024). “Estimation in the Presence of Heteroskedasticity of Unknown Form: A Lasso-based Approach.” Journal of Econometric Methods, 13(1), 29–48. doi:10.1515/jem-2023-0007.

@Article{,
  title = {Estimation in the Presence of Heteroskedasticity of Unknown Form: A {L}asso-based Approach},
  author = {Emilio González-Coya and Pierre Perron},
  journal = {Journal of Econometric Methods},
  year = {2024},
  volume = {13},
  number = {1},
  pages = {29--48},
  doi = {10.1515/jem-2023-0007},
}

González-Coya E (2026). fgls: Feasible GLS for Serial Correlation and Heteroskedasticity. R package version 0.1.0, https://github.com/emiliogcs/fgls.

@Manual{,
  title = {{fgls}: Feasible {GLS} for Serial Correlation and Heteroskedasticity},
  author = {Emilio González-Coya},
  year = {2026},
  note = {R package version 0.1.0},
  url = {https://github.com/emiliogcs/fgls},
}