Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
1] where k_1, k_2,…k_M are the number of regression variables in equation 1,2,…M respectively. In our example, k_1=k_2=…=k_M=2. The regression errors matrix ϵ has the same dimensions as the stacked y matrix namely a column vector of size [MN x 1]. The stacked X matrix has the following structure: