System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
β (Image by Author) Let’s interpret this equation in the context of the SUR model. In the above equation, β_cap is the estimated value of β. In the context of the SUR model, β is the block matrix we reviewed earlier. Here’s how it looks like for the 3-equation CAPM system: The block β matrix (Image