statsmodels/statsmodels — comment on commit 17540867ef660d39bc19e15526adcf342ff2c44b
File:  line 0
By jseabold:

About the sign changes. In the earlier version I exponentiate sigma to make sure it stays positive. I haven't yet done this in this round, but I tried quickly and it didn't look like it solved the problem. The last parameter though should always be positive. It's the square root of the variance. I don't know that this could lead to these results though. This is indeed odd. I don't think I saw these problems before the Olsen reparameterization...still need to make sure.

About the exog_idx, I messed up and made this branch depend on changes in master. I didn't want to rebase, so I just cherry-pick this change into the branch. I haven't pushed it because I haven't checked, but I think it will be fine merging back in later.