statsmodels.tsa.vector_ar.var_model.VARProcess.intercept_longrun¶
- VARProcess.intercept_longrun()[source]¶
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:
Dec 16, 2024