statsmodels.sandbox.sysreg.SUR.whiten¶

SUR.whiten(X)[source]¶

SUR whiten method.

Parameters:¶

X : list of arrays¶

Data to be whitened.

Returns:¶

• If X is the exogenous RHS of the system.

• np.dot(np.kron(cholsigmainv,np.eye(M)),np.diag(X))

• If X is the endogenous LHS of the system.