Before revision:  By estimating the large error covariance matrix consistently, the proposed feasible GLS (FGLS) estimator is robust to heteroskedasticity, serial correlation, and cross-sectional correlation. It is more efficient than the OLS estimator. To control serial correlation , we employ the banding method.
After revision:  By estimating the large error covariance matrix consistently, the proposed feasible GLS (FGLS) estimator is robust to heteroskedasticity, serial correlation, and cross-sectional correlations. To take into account the serial correlations , we employ the banding method.