Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
the regression errors ϵ of the SUR model. Recollect that the SUR model’s regression errors ϵ form a column vector of size [MN x 1]. The correlation matrix of errors Ω is formed by multiplying the error vector ϵ of size [MN x 1] with its transpose ϵ’ of size [1 x MN]. Hence, the correlation matrix