[R] Panel methods, implied var/cov structure

[Tobias Muhlhofer]

Hi!

I have a (fairly narrow and long) panel dataset of returns across three 
portfolios over 100-odd time-series observations. I have reason to 
believe that there is heteroskedasticity in the error terms, but that 
this heteroskedasticity is only through time, i.e. that the three 
portfolios have the same underlying covariance structure over time, 
which of course is unknown to me and about which I do not want to make 
assumptions as to functional form.

Greene says there are GLS methods to handle this type of situation. What 
R functions am I looking for?

Is there another way of estimating this? Perhaps SUR, or something like 
that?

Thanks,
	Tobias