To cite the serial-correlation methods (and the combined estimator) in publications use:

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

To cite the heteroskedasticity methods use:

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.

To cite the software use:

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

Corresponding BibTeX entries:

  @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},
  }

  @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},
  }

  @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},
  }