Package: fgls
Type: Package
Title: Feasible GLS for Serial Correlation and Heteroskedasticity
Version: 0.1.0
Authors@R: 
    person("Emilio", "González-Coya", , "emiliogc@bu.edu", role = c("aut", "cre", "cph"),
           comment = c(ORCID = "0009-0001-0362-8843"))
Description: Feasible generalized least squares (FGLS) estimators for
        linear regressions whose errors are serially correlated,
        heteroskedastic of unknown form, or both. Serial correlation is
        handled by the autoregressive filter of Perron and
        González-Coya (2026) <doi:10.1016/j.jeconom.2026.106346>,
        estimated from a Durbin regression whose order is chosen by an
        information criterion, with a variance estimator that stays
        valid when the regressors are only pre-determined rather than
        strictly exogenous. Heteroskedasticity is handled by the
        adaptive Lasso estimate of the skedastic function of
        González-Coya and Perron (2024) <doi:10.1515/jem-2023-0007>,
        with a bias-corrected sandwich variance. Both corrections can
        be combined. Benchmark estimators (ordinary least squares with
        heteroskedasticity and autocorrelation consistent standard
        errors, Cochrane-Orcutt, infeasible GLS) and the simulation
        designs of both papers are included.
License: MIT + file LICENSE
URL: https://github.com/emiliogcs/fgls, https://emiliogcs.com/fgls/
BugReports: https://github.com/emiliogcs/fgls/issues
Depends: R (>= 4.1.0)
Imports: glmnet (>= 4.1), graphics, grDevices, stats, utils
Suggests: broom, e1071, generics, jsonlite, knitr, lmtest, parallel,
        rmarkdown, sandwich, spelling, testthat (>= 3.0.0), tibble,
        xts, zoo
VignetteBuilder: knitr, rmarkdown
Config/testthat/edition: 3
Encoding: UTF-8
Language: en-US
RoxygenNote: 7.3.1
NeedsCompilation: no
Packaged: 2026-11-07 17:45:32 UTC; root
Author: Emilio González-Coya [aut, cre, cph] (ORCID:
        <https://orcid.org/0009-0001-0362-8843>)
Maintainer: Emilio González-Coya <emiliogc@bu.edu>
Repository: https://cran.r-universe.dev
Date/Publication: 2026-11-07 16:56:33 UTC
RemoteUrl: https://github.com/cran/fgls
RemoteRef: HEAD
RemoteSha: a32f0812edf20c211b54cf525967a9f1b6f41dda