System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
y, β, and ϵ are also block matrices. The SUR model for a system of three regression equations Let’s revisit our example 3-equation system: A system of 3 regression equations (Image by Author) In the above system, there are three CAPM models, one each for the stocks of Ford, U.S. Steel, and