System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Such a system of inter-connected regression equations is called the Seemingly Unrelated Regression (SUR) model. Setting the stage for the estimation of the SUR model To estimate the SUR model, the first step is to “stack” the y, X, β, and ϵ matrices from the M equations one over the other as