System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
the CAPM for NYSE:Ford illustrated in Eq (4a) using OLS over the data set of 5 samples (in a real setting, the data set would undoubtedly be a lot larger!). After fitting this model using OLS, we would calculate the residual errors of the fitted model by subtracting the value estimated by the