BUG: Dickey Fuller constant values (issue #8471 )

[athompson1991]

• closes DIckey Fuller test breaks on constant values #8471
• tests added / passed.
• code/documentation is well formatted.
• properly formatted commit message.

Notes:

• It is essential that you add a test when making code changes. Tests are not
  needed for doc changes.
• When adding a new function, test values should usually be verified in another package (e.g., R/SAS/Stata).
• When fixing a bug, you must add a test that would produce the bug in main and
  then show that it is fixed with the new code.
• New code additions must be well formatted. Changes should pass flake8. If on Linux or OSX, you can
  verify you changes are well formatted by running

  git diff upstream/main -u -- "*.py" | flake8 --diff --isolated
  

  assuming flake8 is installed. This command is also available on Windows
  using the Windows System for Linux once flake8 is installed in the
  local Linux environment. While passing this test is not required, it is good practice and it help
  improve code quality in statsmodels.
• Docstring additions must render correctly, including escapes and LaTeX.

[josef-pkt]

I think this should have a more specific message, e.g.
ValueError("Invalid data, x is constant")

[athompson1991]

Hi, just updated that message to report "x is constant"

[josef-pkt]

can you rebase and squash this, then I will merge it.

otherwise, I can do the squashing

[athompson1991]

I think I squashed this successfully, let me know if the pull request is looking right to you. First time trying to do this so my local git operations were a bit tricky and I'm not sure it's all as expected.

[josef-pkt]

squashed correctly but not rebased on current main, but that's not a problem in this case

merging

Thanks for the PR