This was a fun one to debug this morning :) I cloned the repo to /Users/tom/sandbox/statsmodels. When setup.py is finding data files to include, it checks the paths for:
if r.endswith('results') and 'sandbox' not in r
We want to exclude statsmodels/sandbox/*, but it picked up my sandbox/statsmodels. If you want, I can submit a PR in ~ 2hrs.