Which package handles both auto-correlation and heteroskedacity?

Hi all,


Using the terminology on this webpage:

http://www.nyu.edu/its/pubs/connect/fall03/yaffee_primer.html

We are in need of doing the "Dynamic Panel Models".

We would like to incorporate "auto-correlation" along the time axis and the
"heteroskedacity" cross-sectionally.

>From literature reading, the "time series" concept is sometimes called
"longitudinal".

Could you please recommend a package for that (nlme or lme4 or others)?

And could you please point us to a concrete example on this?

Thanks a lot!

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