System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Feasible GLS) estimation of β as follows (The Est. (…) indicates an estimated value): Estimation of coefficients of the Seemingly Unrelated Regression Model (Image by Author) Since the ‘cap’ in β_cap already indicates that it is the estimated value of β, strictly speaking, the Est (…) notation is