statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X)

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.