System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
asset pricing models to guide us through this process. The covariance matrix of errors of the SUR model The covariance matrix of errors is obtained by multiplying the errors matrix ϵ with its transpose ϵ’ and dividing the result by N (number of samples feed into each model). The transpose of ϵ is