System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
ϵ_ti and ϵ_tj in Ω, (ϵ_ti)(ϵ_tj) = σ²_ij The effect of this assumption is that all shaded elements in Ω attain a block-specific constant value. After applying this assumption to the 3-equation CAPM system, the simplified Ω matrix looks like this: The Ω matrix for the 3-equation SUR model after