Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
thru X7 are the regression matrices from the individual data sets that we carved out earlier, and Z is a matrix of zeros of size [N x 2] i.e. N rows (for the N data samples fed into each CAPM) times 2 regression variables per model (the intercept and the the RAR on the respective market). X0 thru