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: 2026-10-23 15:26:52 UTC; emiliogonzalez
Author: Emilio González-Coya [aut, cre, cph] (ORCID:
    <https://orcid.org/0009-0001-0362-8843>)
Maintainer: Emilio González-Coya <emiliogc@bu.edu>
Repository: CRAN
Date/Publication: 2026-11-07 15:40:08 UTC
Built: R 4.7.0; ; 2026-11-08 00:50:56 UTC; windows
