statsmodels.tsa.vector_ar.svar_model.SVARProcess.intercept_longrun¶

SVARProcess.intercept_longrun()¶

Long run intercept of stable VAR process

Lütkepohl eq. 2.1.23

$$\mu =(I-A_1-\cdots -A_p{)}^{-1}\alpha$$

where alpha is the intercept (parameter of the constant)