System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
of linear model fitted using OLS is always zero. Hence, e_bar_1 can always be assumed to be zero. The demoninator contains a correction of 2 for the degrees of freedom as this model contains two variables: the intercept, and the RAR on the respective market. Thus, we fit each of the three models