System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
contain variances of the type (ϵ_ti)(ϵ_sj) where i = j = 1. That is, all these elements contain the covariance of errors from a particular equation in the system (in the above case, equation 1: the CAPM for Ford) across different time points. Depending on the modeling scenario, such