System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
follows: The Seemingly Unrelated Regression Model expressed using block matrices y, X, β, and ϵ (Image by Author) The y matrix (vector) 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