System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Author) Therefore, what remains to be estimated is Σ. Estimation of the Σ matrix Let’s revisit the [3 x 3] Σ matrix for the 3-equation SUR model consisting of stocks of Ford, U.S. Steel, and GlobalFoundries: The Σ matrix for the 3-equation SUR model (Image by Author) The values along the main