Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
structure: #y = [y0 # y1 # y2 # y3 # y4 # y5 # y6 # y7] Just like with the individual X matrices, y0 thru y7 are the y matrices from the individual CAPMs. y0 thru y7 are each of size [N x 1]. Hence the block y matrix has a size [8N x 1]. y = np.vstack((y_matrices[0], y_matrices[1], y_matrices[2],