statsmodels.tsa.vector_ar.var_model.VARResults.intercept_longrun¶
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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)