System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
for a system of 3 regression equations (Image by Author) We may want to verify that the above matrix equation is dimensionally correct. X is of size [15 x 6] and β is of size [6 x 1]. So Xβ is of size [15 x 1]. Add to that ϵ of size [15 x 1] and we get y of size [15 x 1]. Is SUR a classical linear