Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
concepts and theory behind the SUR model and the (Feasible) GLS technique. The SUR model The equation for our SUR model is simply y = Xβ + ϵ where y, X, β, and ϵ are block matrices created by stacking the y, X, β, and ϵ matrices from the individual CAPMs. The following figure illustrates the