To shoot for HDR, you need to take 3 shots (or more) at different exposures, so auto is out, you can use TV (
shutter speed mode), and change the
shutter speed between shots to get differing exposures, You can leave
shutter speed and change
aperture, or even leave both and change
ISO. But for me, I shoot them in full manual, and use
shutter speed to adjust the exposures to get my 3 (or more) differing exposures of the same scene. Use of a
tripod or some way of ensuring the camera does not move between each shot, is paramount.