Is recasting a multivariate linear regression model as a multiple linear regression entirely equivalent? I'm not referring to simply running $t$ separate regressions.
I have read this in a few places (Bayesian Data Analysis -- Gelman et al., and Multivariate Old School -- Marden) that a multivariate linear model can easily be reparameterized as multiple regression. However, neither source elaborates on this at all. They essentially just mention it, then continue using the multivariate model. Mathematically, I'll write the multivariate version first,
$$ \underset{n \times t}{\mathbf{Y}} = \underset{n \times k}{\mathbf{X}} \hspace{2mm}\underset{k \times t}{\mathbf{B}} + \underset{n \times t}{\mathbf{R}}, $$ where the bold variables are matrices with their sizes below them. As usual, $\mathbf{Y}$ is data, $\mathbf{X}$ is the design matrix, $\mathbf{R}$ are normally distributed residuals, and $\mathbf{B}$ is what we are interested in making inferences with.
To reparameterize this as the familiar multiple linear regression, one simply rewrites the variables as:
$$ \underset{nt \times 1}{\mathbf{y}} = \underset{nt \times nk}{\mathbf{D}} \hspace{2mm} \underset{nk \times 1}{\boldsymbol{\beta}} + \underset{nt \times 1}{\mathbf{r}}, $$
where the reparameterizations used are $\mathbf{y} = row(\mathbf{Y}) $, $\boldsymbol\beta = row(\mathbf{B})$, and $\mathbf{D} = \mathbf{X} \otimes \mathbf{I}_{n}$. $row()$ means that the rows of the matrix are arranged end to end into a long vector, and $\otimes$ is the kronecker, or outer, product.
So, if this is so easy, why bother writing books on multivariate models, test statistics for them etc.? It is most effective to just transform the variables first and use common univariate techniques. I'm sure there is a good reason, I just am having a hard time thinking of one, at least in the case of a linear model. Are there situations with the multivariate linear model and normally distributed random errors where this reparameterization does not apply, or limits the possibilities of the analysis you can undertake?
Sources I have seen this: Marden - Multivariate Statistics: Old School. See sections 5.3 - 5.5. The book is available free from: http://istics.net/stat/
Gelman et al. - Bayesian Data Analysis. I have the second edition, and in this version there is a small paragraph in Ch. 19 'Multivariate Regression Models' titled: "The equivalent univariate regression model"
Basically, can you do everything with the equivalent linear univariate regression model that you could with the multivariate model? If so, why develop methods for multivariate linear models at all?
What about with Bayesian approaches?