fgls: Feasible GLS for serial correlation and heteroskedasticity

Feasible generalized least squares (FGLS) for linear regressions with serially correlated errors (Perron and González-Coya, 2026), heteroskedastic errors of unknown form (González-Coya and Perron, 2024), or both (Supplement S-4 of the 2026 paper).

References

Perron, P. and González-Coya, E. (2026). Feasible GLS for time series regression. Journal of Econometrics, 258, 106346. doi:10.1016/j.jeconom.2026.106346

González-Coya, E. and 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

See also

Useful links:

• https://github.com/emiliogcs/fgls

• https://emiliogcs.com/fgls/

• Report bugs at https://github.com/emiliogcs/fgls/issues

Author

Maintainer: Emilio González-Coya emiliogc@bu.edu (ORCID) [copyright holder]