System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
article (and a tutorial on GLS in this article). GLS (or FGLS) requires us to specify the covariance matrix of the error terms of the model. So let’s inspect the fine-grained structure of the covariance matrix of regression errors of the SUR model. We’ll use our 3-equation regression system of