Three examples | Serial correlation | Heteroskedasticity of unknown form | Both | Working with fits | Time series inputs | Choosing options | References

The idea | An example | Candidate covariates | No loss under homoskedasticity | Alternatives and benchmarks | Weights and robustness options | Computation

The problem | The estimator | Table 1 of the paper | Variance and inference | Lag selection | Lagged dependent variables | MA(1) errors | Checking pre-determinedness

The first-stage correction | No loss under homoskedasticity | Bootstrap cross-check

Perron and González-Coya (2026), Table 1 | Perron and González-Coya (2026), Tables 2--5 (selected cells) | González-Coya and Perron (2024), Table 1 | Supplement, Table S.9: F-C and F-CH | Agreement with pyfgls

Perron and González-Coya (2026), Table 1 | Perron and González-Coya (2026), Tables 2--5 (selected cells) | González-Coya and Perron (2024), Table 1 | Supplement, Table S.9: F-C and F-CH | Agreement with pyfgls

Three examples | Serial correlation | Heteroskedasticity of unknown form | Both | Working with fits | Time series inputs | Choosing options | References

The problem | The estimator | Table 1 of the paper | Variance and inference | Lag selection | Lagged dependent variables | MA(1) errors | Checking pre-determinedness

The first-stage correction | No loss under homoskedasticity | Bootstrap cross-check

The idea | An example | Candidate covariates | No loss under homoskedasticity | Alternatives and benchmarks | Weights and robustness options | Computation