System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
r_(DTB3)t), namely the risk adjusted return of investing in the S&P 500 Automobiles (Industry) index in the regression equation for Ford. We know that in a regression model, what the regression variables cannot explain leaks into the error term. Thus, in the model in (4a), the unexplained variance