Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
on the left is constructed by stacking the M number of y matrices (vectors) from the M equations. Each y matrix is of size [N x 1]. Hence the stacked y matrix is a column vector of size [MN x 1]. Similarly, the matrix of coefficients β is a stacked column matrix (vector) of size [(k_1+k_2+…+k_M) x