we should add a filter warning around this, to avoid the printing of the warning during the test run.

I'm not sure what the statsmodels way of doing this is. If our version requirements are high enough, then we can use the context manager like scipy does. Until now we have been a bit sloppy with noise during test runs.

in test_foreign
```
    with warnings.catch_warnings(record=True):
        dta = genfromdta(os.path.join(curdir, "results/time_series_examples.dta"),
                         pandas=True)
```