Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
the estimated value of the Ω matrix to estimate the entire system of 8-equations in one go using the GLS model as follows. Incidentally, statsmodels calls the parameter into which we pass the Omega matrix as sigma: gls_model = sm.GLS(endog=y, exog=X, sigma=estimated_omega) gls_model_results =