System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
simply ϵ with its rows and columns interchanged. Here’s how the transpose of the block error matrix of the 3-equation SUR model looks like: The transpose of ϵ (Image by Author) The covariance of ϵ, denoted as Cov (ϵ) is ϵϵ’/(N). Let’s take a closer look at this matrix multiplication. The block