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