System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
dependent variables of size [MN x 1]. In our 3-equation CAPM system fed with 5 data samples per equation, it looks like this: The block y matrix (Image by Author) The newly seen matrix in Equation (5) is the Ω (Omega) matrix. Ω is the covariance matrix of regression errors. As we have seen, Ω is a