statsmodels/statsmodels — pull request #754 by jseabold (2013-04-07 22:59:07+00:00)
Title: Fix arima predict

This should close #625. I'm not quite sure why we are about 1e-4 off from gretl's forecasting out of sample. It makes me think that something isn't quite right, but I have no idea what.

Technically, the ARMAX model for conditional MLE is incorrect given the discussion in #274. It will require a fix of estimation and forecasting. It shouldn't be too difficult, but I don't have the gas to fix this and probably not for 0.5. I can live it for now. I doubt there are too many people out there that *need* a theoretically correct conditional ARMAX model. And you could debate that what we have is theoretically correct, so it's a bit splitting hairs. I'll update the documentation for what's going on in the case of ARMAX before I merge.