# Software enabling GLS estimation with both heteroskedasticity and serial correlation correction

Does anyone know such? I tried to find such procedures in Gretl, but there you can use either hsk procedure for heteroskedasticity correction or ar1 procedure for serial correlation correction. I need the GLS procedure that will deal with both. Thanks

Function gls() in package nlme for R can handle both situations. The serial correlation is specified via argument correlation and heteroskedasticity is specified via the weights argument.
Both can take a number of pre-specified functions also provided by the package which can estimate any parameters required. For example, the serial correlation can be specified using corAR1(), corARMA(), and corCAR1() for AR(1), ARMA and continuous time AR(1) serial correlations.