I didn't see any tests for setup.py, so I didn't include any. I can write a test for this function in a new file if you want. I've manually tested on a Mac for python 2.7 and 3.3
BLD: exclude sandbox in relative path, not absolute
looks good, AFAIKS
how do you write a unit test for setup.py? I've never heard of it. Do you know a package with an example?
I'm not sure either. unittest is built around modules IIRC, so I'm not even sure that it's able to be tested. I was going to suggest moving the get_data_files function, but then we wouldn't be able to import it since statsmodels isn't installed at the time of setup. Famous last words, but this shouldn't break anything.