module 'statsmodels.tsa' has no attribute 'arima'

[luca-palese]

Hi I just installed the armagarch lib ( thanks for that :) ) and I encountered this error:

import armagarch as ag
import matplotlib.pyplot as plt
import numpy as np

define mean, vol and distribution

meanMdl = ag.ARMA(order = {'AR':3,'MA':3})
volMdl = ag.garch(order = {'p':1,'q':1})
distMdl = ag.normalDist()

create a model

model = ag.empModel(dataframe['close'].to_frame(), meanMdl, volMdl, distMdl)

fit model

model.fit()

get the conditional mean

Ey = model.Ey

get conditional variance

ht = model.ht
cvol = np.sqrt(ht)

get standardized residuals

stres = model.stres

make a prediction of mean and variance over next 3 days.

pred = model.predict(nsteps = 3)

pred is a list of two-arrays with first array being prediction of mean

and second array being prediction of variance

AttributeError Traceback (most recent call last)
Cell In[3], line 14
12 model = ag.empModel(dataframe['close'].to_frame(), meanMdl, volMdl, distMdl)
13 # fit model
---> 14 model.fit()
16 # get the conditional mean
17 Ey = model.Ey

File c:\Users\Luca Palese\anaconda3\envs\ta-lib-env\lib\site-packages\armagarch\empModel.py:145, in empModel.fit(self, startingVals, epsilon, acc, iterations, iprint, printTable, estimatesOnly)
143 if startingVals is None:
144 if self._startingVals is None:
--> 145 startingVals = self._startVals()
146 else:
147 startingVals = self._startingVals

File c:\Users\Luca Palese\anaconda3\envs\ta-lib-env\lib\site-packages\armagarch\empModel.py:304, in empModel._startVals(self)
300 def _startVals(self):
301 """
302 Needs to be adjusted
303 """
--> 304 self._mean.data = self._data
305 meanStart = self._mean.startVals
306 volStart = self._vol.startVals
...
63 self._order['MA']), trend=c).fit()
64 if len(model.params) > self._pnum:
65 self._startingValues = model.params[:-1] # remove estimate of variance

AttributeError: module 'statsmodels.tsa' has no attribute 'arima'