Compatibility issue with statsmodels 0.18.0

[wjsi]

The problem:

Since v0.18.0, statsmodels stops supporting unbiased and uses adjusted (statsmodels/statsmodels@3d6c388#diff-771ed9ae3d316dec0997427f2182d015dbfdaf6935335428bbf177ce1968bc72), and use of statsmodels.tsa.stattools.acf in tsfresh.feature_extraction.ceature_calculators now causes TypeError. We need to use adjusted instead of unbiased in calls for acf in statsmodels later than v0.14.0.

[fkiraly]

you mean 0.13.0, right? The update on Friday that also broke sktime since it depends on tsfresh?

See sktime/sktime#1478

We just verified that indeed reverting to 0.12.1 seems to resolve the issue (temporarily).

The fix in tsfresh would be to change the name of the argument.

[SirJohnFranklin]

For your information, this has been changed too:
NotImplementedError: AR has been removed from statsmodels and replaced with statsmodels.tsa.ar_model.AutoReg

Maybe something like this:

from statsmodels.tsa.ar_model import AutoReg, ar_select_order
lags = ar_select_order(x_as_list, maxlag=k)
calculated_AR = AutoReg(x_as_list, lags=lags)
calculated_ar_params[k] = calculated_AR.fit(cov_type="robust").params

[queyrusi]

For your information, this has been changed too: NotImplementedError: AR has been removed from statsmodels and replaced with statsmodels.tsa.ar_model.AutoReg

Maybe something like this:

from statsmodels.tsa.ar_model import AutoReg, ar_select_order
lags = ar_select_order(x_as_list, maxlag=k)
calculated_AR = AutoReg(x_as_list, lags=lags)
calculated_ar_params[k] = calculated_AR.fit(cov_type="robust").params

Should just make sure lags refers to the .ar_lags attribute of ar_select_order(x_as_list, maxlag=k).
Works fine for me.

[theoohoho]

Hi ! Are there any updates?

[wlmszdnb]

i see this bug today. Though I turn statemodel to 0.12.1, but does't work? Help,pls.

[MassEast]

On 0.11 everything works fine.

[VGODIE]

I am really looking forward to this update ! Are there any changes happened?

[kempa-liehr]

@SirJohnFranklin, thanks for the short demo of the new interface.