System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
square matrix of size [MN x MN]. For the 3-equation SUR model fed with 5 samples each, here is Ω in its full glory: The Ω matrix for the 3-equation SUR model (Image by Author) Equation (5) gives us the following insight: The matrices X, X’ and y are all known quantities. If Ω is known, the GLS