Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
Before we estimate Ω, we must make two simplifying assumptions: We’ll assume that the regression errors from individual models in the system may be correlated across equations for the same time point t, but they are not correlated across different time points i.e. Corr(e_ti, e_sj) = 0 if t != s.