Multivariate Generalized Least Squares

I'd like to use the generalized least squares (GLS) in the multivariate version. I have a response variable $$\boldsymbol{Y}$$ with dimension $$n \times m$$, where $$n$$ indicates the number of observations and $$m$$ indicates the number of components of the random vector $$\boldsymbol{Y}$$. Besides, I have the regressors variables with dimension $$n \times p$$, where $$p$$ indicates the number of regressors.

How is the multivariate case for the GLS? I have read https://en.wikipedia.org/wiki/Generalized_linear_model, but this version is for the univariate case, that is, $$\boldsymbol{Y}$$ has dimension $$n \times 1$$. Any reference or hints are welcome.

• Are you looking for software implementation of theoretical discussion ob this topic? – Isabella Ghement May 1 at 2:01
• I need a book, paper or R package. – Wagner Jorge May 1 at 15:47