I have scanned rigorously on the internet but the information regarding the SURE methodology seems surprisingly very little (at least with regard to its application in finance). I would have imagined if Fama French used this technique then, surely there might information on it out there. However, it's the exact opposite case.
My problem is that I have already calculated all the estimates for intercept terms and respective betas for the 25 portfolios using OLS. Only now I am realizing that I should apparently use this SURE model and not the OLS method.
This was the lecture (https://www.youtube.com/watch?v=Csajx7C3m5M&t=3723s) by Prof. Klaus Grobys I was watching when it occurred to me that I should be using the SURE model because the intercepts would go on to be included in the GRS test statistic.
What is the correct method?