I was testing with your 0.5.0 release and received errors when using this order. I updated to your current master and see you added error handling showing no support for this type of ARIMA. Is there plans to add support for this in the future?
Results I see when attempting to initialize model:
File "/usr/lib64/python2.7/site-packages/statsmodels-0.6.0-py2.7-linux-x86_64.egg/statsmodels/tsa/arima_model.py", line 904, in init
raise ValueError("Order (0, d, 0) not supported.")
ValueError: Order (0, d, 0) not supported.
This is now supported.