BUG: Fix 1d exog in ARMA. Closes #248.

statsmodels/tsa/arima_model.py

@@ -219,6 +219,7 @@ class ARMA(tsbase.TimeSeriesModel):
 
     def __init__(self, endog, order=None, exog=None, dates=None, freq=None):
         super(ARMA, self).__init__(endog, exog, dates, freq)
+        exog = self._data.exog # get it after it's gone through processing
         if order is None:
             import warnings
             warnings.warn("In the next release order will not be optional "
@@ -228,6 +229,8 @@ def __init__(self, endog, order=None, exog=None, dates=None, freq=None):
             self.k_ma = k_ma = order[1]
             self.k_lags = k_lags = max(k_ar,k_ma+1)
         if exog is not None:
+            if exog.ndim == 1:
+                exog = exog[:,None]
             k_exog = exog.shape[1]  # number of exog. variables excl. const
         else:
             k_exog = 0

statsmodels/tsa/tests/test_arima.py

@@ -1583,6 +1583,13 @@ def test_arima_wrapper():
                                     'ma.L1.D.cpi'])
     assert_equal(res.model.endog_names, 'D.cpi')
 
+def test_1dexog():
+    # smoke test, this will raise an error if broken
+    from statsmodels.datasets.macrodata import load_pandas
+    dta = load_pandas().data
+    endog = dta['realcons'].values
+    exog = dta['m1'].values.squeeze()
+    mod = ARMA(endog, (1,1), exog).fit(disp=-1)
 
 if __name__ == "__main__":
     import nose