Feasible GLS for Serial Correlation and Heteroskedasticity
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Documentation for package ‘fgls’ version 0.1.0
Help Pages
| adf_test | Augmented Dickey-Fuller test (screening) |
| ar_roots | Diagnostics of an fgls fit |
| augment.fgls | Tidy, glance and augment fgls fits |
| cochrane_orcutt | Benchmark estimators |
| compare_fgls | Compare fits side by side |
| confint.fgls | Methods for fgls fits |
| df.residual.fgls | Methods for fgls fits |
| durbin_estimator | Benchmark estimators |
| fgls | Feasible GLS for serial correlation and/or heteroskedasticity |
| fgls-broom | Tidy, glance and augment fgls fits |
| fgls-conditions | Conditions signaled by fgls |
| fgls-methods | Methods for fgls fits |
| fgls_control | Advanced options for fgls |
| fitted.fgls | Methods for fgls fits |
| formula.fgls | Methods for fgls fits |
| glance.fgls | Tidy, glance and augment fgls fits |
| hybrid_gls | Benchmark estimators |
| infeasible_gls | Benchmark estimators |
| lasso_fgls | Feasible GLS under heteroskedasticity of unknown form (González-Coya and Perron, 2024) |
| make_dictionary | Candidate covariates for the skedastic function |
| model.frame.fgls | Methods for fgls fits |
| model.matrix.fgls | Methods for fgls fits |
| nobs.fgls | Methods for fgls fits |
| nonexogeneity_share | Diagnostics of an fgls fit |
| ols_robust | Benchmark estimators |
| plot.fgls | Diagnostic plots for fgls fits |
| predict.fgls | Methods for fgls fits |
| print.fgls | Methods for fgls fits |
| print.fgls_adf | Augmented Dickey-Fuller test (screening) |
| print.fgls_predetermined | Test whether lags of the regressors are missing (pre-determinedness) |
| print.summary.fgls | Summarize an fgls fit |
| residuals.fgls | Methods for fgls fits |
| serial_fgls | Feasible GLS for serially correlated errors (Perron and González-Coya, 2026) |
| simulate_combined | Simulate the designs of the papers |
| simulate_hetero | Simulate the designs of the papers |
| simulate_predictive | Simulate the designs of the papers |
| simulate_serial | Simulate the designs of the papers |
| summary.fgls | Summarize an fgls fit |
| terms.fgls | Methods for fgls fits |
| test_predetermined | Test whether lags of the regressors are missing (pre-determinedness) |
| tidy.fgls | Tidy, glance and augment fgls fits |
| vcov.fgls | Methods for fgls fits |
| weight_diagnostics | Diagnostics of an fgls fit |