System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
this article) provides a promising avenue for estimation of the SUR model. The argument for the GLS technique goes along the following lines: Given a linear regression model y = Xβ + ϵ, we wish to estimate the coefficient vector β. But the estimation of β using Ordinary Least Squares (OLS) will be