statsmodels.tsa.vector_ar.var_model.VARResults.intercept_longrun

VARResults.intercept_longrun()

Long run intercept of stable VAR process

Lütkepohl eq. 2.1.23

\[\mu = (I - A_1 - \dots - A_p)^{-1} \alpha\]

where alpha is the intercept (parameter of the constant)


Last update: Feb 14, 2024