System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
covariance matrix of errors of the SUR model (Image by Author) We’ll look at the blue bordered diagonal elements of this block first. Notice how for each (ϵ_ti)(ϵ_sj) the first subscript on the two ϵs is the same. The first subscript indicates the data sample number fed into each equation. For our