Question: Seemingly unrelated regressions with one-way error component disturbances. Using the one-way error component structure on the disturbances of the (j) th equation given in (6.2)

Seemingly unrelated regressions with one-way error component disturbances. Using the one-way error component structure on the disturbances of the $j$ th equation given in (6.2) and (6.3), verify that $\Omega_{j l}$, the variance-covariance matrix between the $j$ th and $l$ th equation disturbances, is given by (6.4).

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U j = ZuHj + Vj (j= 1,..., M) (6.2)

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