removing heteroscedasticity in OLS estimation

[vil0027]

Hi, I have one question: Is it possible remove heteroscedasticity by including lags of residuals in OLS?????

I mean this: R_(it )= α_(i )+β_i R_(mt )+ρ_i ε_(i,t -1 )+ u_(it )

where: ε_(i,t -1) is a residual of equity i in the period t-1, ρ_i is the coefficient residual of the previous period and u_(it )is a residual of equity in period t
Is this transformation GLS or still OLS?

If yes, Do you konw some relevant literature, where I could learn more about this?

Thank you for any answers in advance.