System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
the system. Ditto for ϵ_sj. For e.g. ϵ_12 is the error term for the first data sample of the CAPM for U.S. Steel stock which is equation #2 in the 3-equation system. An element (ϵ_ti)(ϵ_sj)/(5) in the matrix represents the covariance between the error terms ϵ_ti and ϵ_sj. Let’s zoom into a portion