System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
errors Ω for the entire system of size [MN x MN], which is exactly as desired. The covariance matrix of errors Ω calculated as the Kronecker product Σ ⊗ I (Image by Author) Let’s circle back to GLS. Our goal is to estimate the coefficient vector β of the SUR model. We saw that we could use