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Robust version of GLS with regression weights in R?

Hi all,

In the following webpage, I have expressed my concern about the heteroskedasticity in my residuals using rlm with regression weights in R:

How to do goodness-of-fit and residual diagnosis for rlm in R?

I think it is probably almost always better to include the "anti-heteroskedasticity" measures in regression, because most data have that...

So I am thinking of switching to GLS...

Where do I find a version of GLS in R that has the following two features:

  1. Robust version.
  2. Can allow my own regression weights.

Thanks a lot for your pointers in advance!

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