Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
size Σ matrix. We’ll denote S to be our estimate of Σ. The S matrix has the following structure: # [e_11 e_12 e_13 ... e_1M # e_21 e_22 e_23 ... e_2M # ... ... ... ... e_2M # e_M1 e_M2 e_M3 ... e_MM] Recollect hat we had gathered together into the Pandas DataFrame df_OLS_resid, the residual errors