statsmodels.tsa.vector_ar.svar_model.SVARResults.mean¶
- SVARResults.mean()¶
Long run intercept of stable VAR process
Warning: trend and exog except for intercept are ignored for this. This might change in future versions.
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:
Dec 23, 2024