Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
mentioned in the strategy section, if the residuals from the individual OLS models are heavily correlated across models, then the OLS estimator will not have fit the models efficiently. Let’s display the heat map of correlations: sb.heatmap(df_OLS_resid.corr()) plt.show() We see the following heat