How to fit an ARMAX model using statsmodels
python, statsmodels
Solution
The issue here is that you're passing two constant columns, then telling fit to add another constant column with `trend='nc'`. Admittedly, we should fail more gracefully here, but you need to try something like
u = np.random.randn(100, 2)
Instead of the constant exog.
Problem
How do I use the statsmodels ARMA process to fit a difference equation of the form. ``` y[k] = - a1 * y[k-1] + b0 * u[k] + b1 * u[k-1] + c0 * e[k] + c1 * e[k-1] ``` I'm not shure how to set up the exog matrix. E.g. ``` import statsmodels.api as sm # some stupid data y = np.random.randn(100) u = np.ones((100,2)) armax = sm.tsa.ARMA(y, order=(1, 1), exog=u).fit() ``` results in ``` ValueError: could not broadcast input array from shape (2) into shape (3) ``` It's probably easy to solve but I'm new to the field. Thanks. (I'm using statsmodels 0.6)