System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
for the 3-equation SUR model (you may want to zoom into the figure to take in the detail): The covariance matrix of error terms of the 3-equation SUR model (Image by Author) The matrix multiplication of ϵ with its transpose has caused the three blocks in the block ϵ matrix to multiplex into 9