Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
β_1 thru β_8. Regression strategy The error terms ϵ_it of CAPM models tend to be highly correlated across models. We’ll demonstrate this shortly in the context of a real world data set. Due to such cross-model correlations, we cannot use the Ordinary Least Squares (OLS) estimator to estimate our