System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
block highlighted. (Image by Author) Let’s once again inspect the zoomed in block we inspected earlier and note the orange bordered cell: A block of off-diagonal elements of the covariance matrix of errors of the SUR model (Image by Author) This cell contains the covariance (ϵ_11)(ϵ_42). Notice how