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ChadFulton/ar1_exog_intercept.ipynb

Last active March 27, 2019 15:40
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Different types of SARIMAX
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ar1_exog_intercept.ipynb
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@bobbejaan
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I get the following error:
ValueError: Invalid state space initialization method.
I guess it is caused by:
super(AR1X, self).__init__(endog, k_states=1, exog=exog, initialization='diffuse')

The following does work:
super(AR1X, self).__init__(endog, k_states=1, exog=exog, initialization='approximate_diffuse')

@ChadFulton
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Ah, yes, for diffuse you need the version of Statsmodels in master, but approximate_diffuse will work in v0.9

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