Due to the way pip works, if you have a requirements.txt file which includes statsmodels and its dependencies (numpy, pandas, etc), then attempt to run a:
$ pip install -r requirements.txt
It will fail because pip runs the setup.py of every package before installing any of the packages.
Couple related issues:
Are you using current master?
I think this has been fixed with #1267
#1267 looks like it should solve the issue. My appologies for the added noise.