Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
expressed as the Kronecker product (denoted by the symbol ⊗) of two matrices — A Σ (Sigma) and an I (Identity) matrix as illustrated in the figure below: The covariance matrix of errors Ω calculated as the Kronecker product Σ ⊗ I (Image by Author) Thus, to estimate Ω, we must estimate the [M x M]