statsmodels/statsmodels — pull request #1149 by jseabold (2013-10-25 10:44:46+00:00)
Title: BUG: Fix small data issues for ARIMA.

This closes #1146 and #1046.

1. We now check to make sure that we have at least one degree of freedom to estimate the problem. If so, then we try the estimation.
1. Most / all of these estimations will return garbage. We have an extra check that we can estimate stationary initial params. Usually we can't in these cases, so the usual error will be raised here asking to set start_params. This should be enough of a warning to the user that this is "odd." If in the small chance the estimation goes through for a model with 5 observations and 1 degree of freedom, it's on the user then to determine things are no good.
2. We now avoid the problem of maxlag >= nobs happening in the call to AR so this avoids the problem of #1046 that also presented itself as part of #1146.