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
  <https://doi.org/10.1016/j.jeconom.2026.106346>.

A BibTeX entry for LaTeX users is

  @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},
  }

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
  <https://doi.org/10.1515/jem-2023-0007>.

A BibTeX entry for LaTeX users is

  @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},
  }

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>.

A BibTeX entry for LaTeX users is

  @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},
  }