System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
and the second subscript refers to the equation number in the system. The assumption we are making is that: For any ϵ_ti and ϵ_sj in Ω, (ϵ_ti)(ϵ_sj) = 0 if t != s. The effect of this assumption is to make all such elements in Ω be zero. After applying this assumption to the 3-equation CAPM system,