content: # Note: The information criteria add 1 to the number of parameters
  #       whenever the model has an AR or MA term since, in principle,
  #       the variance could be treated as a free parameter and restricted
  #       This code does not allow this, but it adds consistency with other
  #       packages such as gretl and X12-ARIMA
  
  from __future__ import absolute_import
  from statsmodels.compat.python import string_types, range
  # for 2to3 with extensions
  
  from datetime import datetime
  
  import numpy as np
  from scipy import optimize
  from scipy.stats import t, norm
  from scipy.signal import lfilter
  from numpy import dot, log, zeros, pi
  from numpy.linalg import inv
  
  from statsmodels.tools.decorators import (cache_readonly,
                                            resettable_cache)
  import statsmodels.tsa.base.tsa_model as tsbase
  import statsmodels.base.wrapper as wrap
  from statsmodels.regression.linear_model import yule_walker, GLS
  from statsmodels.tsa.tsatools import (lagmat, add_trend,
                                        _ar_transparams, _ar_invtransparams,
                                        _ma_transparams, _ma_invtransparams,
                                        unintegrate, unintegrate_levels)
  from statsmodels.tsa.vector_ar import util
  from statsmodels.tsa.ar_model import AR
  from statsmodels.tsa.arima_process import arma2ma
  from statsmodels.tools.numdiff import approx_hess_cs, approx_fprime_cs
  from statsmodels.tsa.base.datetools import _index_date
  from statsmodels.tsa.kalmanf import KalmanFilter
  
  _armax_notes = """
  
          Notes
          -----
          If exogenous variables are given, then the model that is fit is
  
          .. math::
  
             \\phi(L)(y_t - X_t\\beta) = \\theta(L)\epsilon_t
  
          where :math:`\\phi` and :math:`\\theta` are polynomials in the lag
          operator, :math:`L`. This is the regression model with ARMA errors,
          or ARMAX model. This specification is used, whether or not the model
          is fit using conditional sum of square or maximum-likelihood, using
          the `method` argument in
          :meth:`statsmodels.tsa.arima_model.%(Model)s.fit`. Therefore, for
          now, `css` and `mle` refer to estimation methods only. This may
          change for the case of the `css` model in future versions.
  """
  
  _arma_params = """\
      endog : array-like
          The endogenous variable.
      order : iterable
          The (p,q) order of the model for the number of AR parameters,
          differences, and MA parameters to use.
      exog : array-like, optional
          An optional array of exogenous variables. This should *not* include a
          constant or trend. You can specify this in the `fit` method."""
  
  _arma_model = "Autoregressive Moving Average ARMA(p,q) Model"
  
  _arima_model = "Autoregressive Integrated Moving Average ARIMA(p,d,q) Model"
  
  _arima_params = """\
      endog : array-like
          The endogenous variable.
      order : iterable
          The (p,d,q) order of the model for the number of AR parameters,
          differences, and MA parameters to use.
      exog : array-like, optional
          An optional array of exogenous variables. This should *not* include a
          constant or trend. You can specify this in the `fit` method."""
  
  _predict_notes = """
          Notes
          -----
          Use the results predict method instead.
  """
  
  _results_notes = """
          Notes
          -----
          It is recommended to use dates with the time-series models, as the
          below will probably make clear. However, if ARIMA is used without
          dates and/or `start` and `end` are given as indices, then these
          indices are in terms of the *original*, undifferenced series. Ie.,
          given some undifferenced observations::
  
           1970Q1, 1
           1970Q2, 1.5
           1970Q3, 1.25
           1970Q4, 2.25
           1971Q1, 1.2
           1971Q2, 4.1
  
          1970Q1 is observation 0 in the original series. However, if we fit an
          ARIMA(p,1,q) model then we lose this first observation through
          differencing. Therefore, the first observation we can forecast (if
          using exact MLE) is index 1. In the differenced series this is index
          0, but we refer to it as 1 from the original series.
  """
  
  _predict = """
          %(Model)s model in-sample and out-of-sample prediction
  
          Parameters
          ----------
          %(params)s
          start : int, str, or datetime
              Zero-indexed observation number at which to start forecasting, ie.,
              the first forecast is start. Can also be a date string to
              parse or a datetime type.
          end : int, str, or datetime
              Zero-indexed observation number at which to end forecasting, ie.,
              the first forecast is start. Can also be a date string to
              parse or a datetime type. However, if the dates index does not
              have a fixed frequency, end must be an integer index if you
              want out of sample prediction.
          exog : array-like, optional
              If the model is an ARMAX and out-of-sample forecasting is
              requested, exog must be given. Note that you'll need to pass
              `k_ar` additional lags for any exogenous variables. E.g., if you
              fit an ARMAX(2, q) model and want to predict 5 steps, you need 7
              observations to do this.
          dynamic : bool, optional
              The `dynamic` keyword affects in-sample prediction. If dynamic
              is False, then the in-sample lagged values are used for
              prediction. If `dynamic` is True, then in-sample forecasts are
              used in place of lagged dependent variables. The first forecasted
              value is `start`.
          %(extra_params)s
  
          Returns
          -------
          %(returns)s
          %(extra_section)s
  """
  
  _predict_returns = """predict : array
              The predicted values.
  
  """
  
  _arma_predict = _predict % {"Model" : "ARMA",
                              "params" : """
              params : array-like
              The fitted parameters of the model.""",
                              "extra_params" : "",
                              "returns" : _predict_returns,
                              "extra_section" : _predict_notes}
  
  _arma_results_predict = _predict % {"Model" : "ARMA", "params" : "",
                                      "extra_params" : "",
                                      "returns" : _predict_returns,
                                      "extra_section" : _results_notes}
  
  _arima_predict = _predict % {"Model" : "ARIMA",
                               "params" : """params : array-like
              The fitted parameters of the model.""",
                               "extra_params" : """typ : str {'linear', 'levels'}
  
              - 'linear' : Linear prediction in terms of the differenced
                endogenous variables.
              - 'levels' : Predict the levels of the original endogenous
                variables.\n""", "returns" : _predict_returns,
                               "extra_section" : _predict_notes}
  
  _arima_results_predict = _predict % {"Model" : "ARIMA",
                                       "params" : "",
                                       "extra_params" :
                                       """typ : str {'linear', 'levels'}
  
              - 'linear' : Linear prediction in terms of the differenced
                endogenous variables.
              - 'levels' : Predict the levels of the original endogenous
                variables.\n""",
                                       "returns" : _predict_returns,
                                       "extra_section" : _results_notes}
  
  _arima_plot_predict_example = """        Examples
          --------
          >>> import statsmodels.api as sm
          >>> import matplotlib.pyplot as plt
          >>> import pandas as pd
          >>>
          >>> dta = sm.datasets.sunspots.load_pandas().data[['SUNACTIVITY']]
          >>> dta.index = pd.DatetimeIndex(start='1700', end='2009', freq='A')
          >>> res = sm.tsa.ARMA(dta, (3, 0)).fit()
          >>> fig, ax = plt.subplots()
          >>> ax = dta.ix['1950':].plot(ax=ax)
          >>> fig = res.plot_predict('1990', '2012', dynamic=True, ax=ax,
          ...                        plot_insample=False)
          >>> plt.show()
  
          .. plot:: plots/arma_predict_plot.py
  """
  
  _plot_predict = ("""
          Plot forecasts
                        """ + '\n'.join(_predict.split('\n')[2:])) % {
                        "params" : "",
                            "extra_params" : """alpha : float, optional
              The confidence intervals for the forecasts are (1 - alpha)%
          plot_insample : bool, optional
              Whether to plot the in-sample series. Default is True.
          ax : matplotlib.Axes, optional
              Existing axes to plot with.""",
                        "returns" : """fig : matplotlib.Figure
              The plotted Figure instance""",
                        "extra_section" : ('\n' + _arima_plot_predict_example +
                                           '\n' + _results_notes)
                        }
  
  _arima_plot_predict = ("""
          Plot forecasts
                        """ + '\n'.join(_predict.split('\n')[2:])) % {
                        "params" : "",
                            "extra_params" : """alpha : float, optional
              The confidence intervals for the forecasts are (1 - alpha)%
          plot_insample : bool, optional
              Whether to plot the in-sample series. Default is True.
          ax : matplotlib.Axes, optional
              Existing axes to plot with.""",
                        "returns" : """fig : matplotlib.Figure
              The plotted Figure instance""",
                  "extra_section" : ('\n' + _arima_plot_predict_example +
                                     '\n' +
                                     '\n'.join(_results_notes.split('\n')[:3]) +
                                ("""
          This is hard-coded to only allow plotting of the forecasts in levels.
  """) +
                                '\n'.join(_results_notes.split('\n')[3:]))
                        }
  
  
  def cumsum_n(x, n):
      if n:
          n -= 1
          x = np.cumsum(x)
          return cumsum_n(x, n)
      else:
          return x
  
  
  def _check_arima_start(start, k_ar, k_diff, method, dynamic):
      if start < 0:
          raise ValueError("The start index %d of the original series "
                           "has been differenced away" % start)
      elif (dynamic or 'mle' not in method) and start < k_ar:
          raise ValueError("Start must be >= k_ar for conditional MLE "
                           "or dynamic forecast. Got %d" % start)
  
  
  def _get_predict_out_of_sample(endog, p, q, k_trend, k_exog, start, errors,
                                 trendparam, exparams, arparams, maparams, steps,
                                 method, exog=None):
      """
      Returns endog, resid, mu of appropriate length for out of sample
      prediction.
      """
      if q:
          resid = np.zeros(q)
          if start and 'mle' in method or (start == p and not start == 0):
              resid[:q] = errors[start-q:start]
          elif start:
              resid[:q] = errors[start-q-p:start-p]
          else:
              resid[:q] = errors[-q:]
      else:
          resid = None
  
      y = endog
      if k_trend == 1:
          # use expectation not constant
          if k_exog > 0:
              #TODO: technically should only hold for MLE not
              # conditional model. See #274.
              # ensure 2-d for conformability
              if np.ndim(exog) == 1 and k_exog == 1:
                  # have a 1d series of observations -> 2d
                  exog = exog[:, None]
              elif np.ndim(exog) == 1:
                  # should have a 1d row of exog -> 2d
                  if len(exog) != k_exog:
                      raise ValueError("1d exog given and len(exog) != k_exog")
                  exog = exog[None, :]
              X = lagmat(np.dot(exog, exparams), p, original='in', trim='both')
              mu = trendparam * (1 - arparams.sum())
              # arparams were reversed in unpack for ease later
              mu = mu + (np.r_[1, -arparams[::-1]] * X).sum(1)[:, None]
          else:
              mu = trendparam * (1 - arparams.sum())
              mu = np.array([mu]*steps)
      elif k_exog > 0:
          X = np.dot(exog, exparams)
          #NOTE: you shouldn't have to give in-sample exog!
          X = lagmat(X, p, original='in', trim='both')
          mu = (np.r_[1, -arparams[::-1]] * X).sum(1)[:, None]
      else:
          mu = np.zeros(steps)
  
      endog = np.zeros(p + steps - 1)
  
      if p and start:
          endog[:p] = y[start-p:start]
      elif p:
          endog[:p] = y[-p:]
  
      return endog, resid, mu
  
  
  def _arma_predict_out_of_sample(params, steps, errors, p, q, k_trend, k_exog,
                                  endog, exog=None, start=0, method='mle'):
      (trendparam, exparams,
       arparams, maparams) = _unpack_params(params, (p, q), k_trend,
                                            k_exog, reverse=True)
      endog, resid, mu = _get_predict_out_of_sample(endog, p, q, k_trend, k_exog,
                                                    start, errors, trendparam,
                                                    exparams, arparams,
                                                    maparams, steps, method,
                                                    exog)
  
      forecast = np.zeros(steps)
      if steps == 1:
          if q:
              return mu[0] + np.dot(arparams, endog[:p]) + np.dot(maparams,
                                                                  resid[:q])
          else:
              return mu[0] + np.dot(arparams, endog[:p])
  
      if q:
          i = 0  # if q == 1
      else:
          i = -1
  
      for i in range(min(q, steps - 1)):
          fcast = (mu[i] + np.dot(arparams, endog[i:i + p]) +
                   np.dot(maparams[:q - i], resid[i:i + q]))
          forecast[i] = fcast
          endog[i+p] = fcast
  
      for i in range(i + 1, steps - 1):
          fcast = mu[i] + np.dot(arparams, endog[i:i+p])
          forecast[i] = fcast
          endog[i+p] = fcast
  
      #need to do one more without updating endog
      forecast[steps - 1] = mu[steps - 1] + np.dot(arparams, endog[steps - 1:])
      return forecast
  
  
  def _arma_predict_in_sample(start, end, endog, resid, k_ar, method):
      """
      Pre- and in-sample fitting for ARMA.
      """
      if 'mle' in method:
          fittedvalues = endog - resid  # get them all then trim
      else:
          fittedvalues = endog[k_ar:] - resid
  
      fv_start = start
      if 'mle' not in method:
          fv_start -= k_ar  # start is in terms of endog index
      fv_end = min(len(fittedvalues), end + 1)
      return fittedvalues[fv_start:fv_end]
  
  
  def _validate(start, k_ar, k_diff, dates, method):
      if isinstance(start, (string_types, datetime)):
          start = _index_date(start, dates)
          start -= k_diff
      if 'mle' not in method and start < k_ar - k_diff:
          raise ValueError("Start must be >= k_ar for conditional "
                           "MLE or dynamic forecast. Got %s" % start)
  
      return start
  
  
  def _unpack_params(params, order, k_trend, k_exog, reverse=False):
      p, q = order
      k = k_trend + k_exog
      maparams = params[k+p:]
      arparams = params[k:k+p]
      trend = params[:k_trend]
      exparams = params[k_trend:k]
      if reverse:
          return trend, exparams, arparams[::-1], maparams[::-1]
      return trend, exparams, arparams, maparams
  
  
  def _unpack_order(order):
      k_ar, k_ma, k = order
      k_lags = max(k_ar, k_ma+1)
      return k_ar, k_ma, order, k_lags
  
  
  def _make_arma_names(data, k_trend, order, exog_names):
      k_ar, k_ma = order
      exog_names = exog_names or []
      ar_lag_names = util.make_lag_names([data.ynames], k_ar, 0)
      ar_lag_names = [''.join(('ar.', i)) for i in ar_lag_names]
      ma_lag_names = util.make_lag_names([data.ynames], k_ma, 0)
      ma_lag_names = [''.join(('ma.', i)) for i in ma_lag_names]
      trend_name = util.make_lag_names('', 0, k_trend)
  
      # ensure exog_names stays unchanged when the `fit` method
      # is called multiple times.
      if exog_names[-k_ma:] == ma_lag_names and \
         exog_names[-(k_ar+k_ma):-k_ma] == ar_lag_names and \
         (not exog_names or not trend_name or trend_name[0] == exog_names[0]):
          return exog_names
  
      exog_names = trend_name + exog_names + ar_lag_names + ma_lag_names
      return exog_names
  
  
  def _make_arma_exog(endog, exog, trend):
      k_trend = 1  # overwritten if no constant
      if exog is None and trend == 'c':   # constant only
          exog = np.ones((len(endog), 1))
      elif exog is not None and trend == 'c':  # constant plus exogenous
          exog = add_trend(exog, trend='c', prepend=True)
      elif exog is not None and trend == 'nc':
          # make sure it's not holding constant from last run
          if exog.var() == 0:
              exog = None
          k_trend = 0
      if trend == 'nc':
          k_trend = 0
      return k_trend, exog
  
  
  def _check_estimable(nobs, n_params):
      if nobs <= n_params:
          raise ValueError("Insufficient degrees of freedom to estimate")
  
  
  class ARMA(tsbase.TimeSeriesModel):
  
      __doc__ = tsbase._tsa_doc % {"model" : _arma_model,
                                   "params" : _arma_params, "extra_params" : "",
                                   "extra_sections" : _armax_notes %
                                   {"Model" : "ARMA"}}
  
      def __init__(self, endog, order, exog=None, dates=None, freq=None,
                   missing='none'):
          super(ARMA, self).__init__(endog, exog, dates, freq, missing=missing)
          exog = self.data.exog  # get it after it's gone through processing
          _check_estimable(len(self.endog), sum(order))
          self.k_ar = k_ar = order[0]
          self.k_ma = k_ma = order[1]
          self.k_lags = max(k_ar, k_ma+1)
          if exog is not None:
              if exog.ndim == 1:
                  exog = exog[:, None]
              k_exog = exog.shape[1]  # number of exog. variables excl. const
          else:
              k_exog = 0
          self.k_exog = k_exog
  
      def _fit_start_params_hr(self, order):
          """
          Get starting parameters for fit.
  
          Parameters
          ----------
          order : iterable
              (p,q,k) - AR lags, MA lags, and number of exogenous variables
              including the constant.
  
          Returns
          -------
          start_params : array
              A first guess at the starting parameters.
  
          Notes
          -----
          If necessary, fits an AR process with the laglength selected according
          to best BIC.  Obtain the residuals.  Then fit an ARMA(p,q) model via
          OLS using these residuals for a first approximation.  Uses a separate
          OLS regression to find the coefficients of exogenous variables.
  
          References
          ----------
          Hannan, E.J. and Rissanen, J.  1982.  "Recursive estimation of mixed
              autoregressive-moving average order."  `Biometrika`.  69.1.
          """
          p, q, k = order
          start_params = zeros((p+q+k))
          endog = self.endog.copy()  # copy because overwritten
          exog = self.exog
          if k != 0:
              ols_params = GLS(endog, exog).fit().params
              start_params[:k] = ols_params
              endog -= np.dot(exog, ols_params).squeeze()
          if q != 0:
              if p != 0:
                  # make sure we don't run into small data problems in AR fit
                  nobs = len(endog)
                  maxlag = int(round(12*(nobs/100.)**(1/4.)))
                  if maxlag >= nobs:
                      maxlag = nobs - 1
                  armod = AR(endog).fit(ic='bic', trend='nc', maxlag=maxlag)
                  arcoefs_tmp = armod.params
                  p_tmp = armod.k_ar
                  # it's possible in small samples that optimal lag-order
                  # doesn't leave enough obs. No consistent way to fix.
                  if p_tmp + q >= len(endog):
                      raise ValueError("Proper starting parameters cannot"
                                       " be found for this order with this "
                                       "number of observations. Use the "
                                       "start_params argument.")
                  resid = endog[p_tmp:] - np.dot(lagmat(endog, p_tmp,
                                                        trim='both'),
                                                 arcoefs_tmp)
                  if p < p_tmp + q:
                      endog_start = p_tmp + q - p
                      resid_start = 0
                  else:
                      endog_start = 0
                      resid_start = p - p_tmp - q
                  lag_endog = lagmat(endog, p, 'both')[endog_start:]
                  lag_resid = lagmat(resid, q, 'both')[resid_start:]
                  # stack ar lags and resids
                  X = np.column_stack((lag_endog, lag_resid))
                  coefs = GLS(endog[max(p_tmp + q, p):], X).fit().params
                  start_params[k:k+p+q] = coefs
              else:
                  start_params[k+p:k+p+q] = yule_walker(endog, order=q)[0]
          if q == 0 and p != 0:
              arcoefs = yule_walker(endog, order=p)[0]
              start_params[k:k+p] = arcoefs
  
          # check AR coefficients
          if p and not np.all(np.abs(np.roots(np.r_[1, -start_params[k:k + p]]
                                              )) < 1):
              raise ValueError("The computed initial AR coefficients are not "
                               "stationary\nYou should induce stationarity, "
                               "choose a different model order, or you can\n"
                               "pass your own start_params.")
          # check MA coefficients
          elif q and not np.all(np.abs(np.roots(np.r_[1, start_params[k + p:]]
                                                )) < 1):
              raise ValueError("The computed initial MA coefficients are not "
                               "invertible\nYou should induce invertibility, "
                               "choose a different model order, or you can\n"
                               "pass your own start_params.")
  
          # check MA coefficients
          return start_params
  
      def _fit_start_params(self, order, method):
          if method != 'css-mle':  # use Hannan-Rissanen to get start params
              start_params = self._fit_start_params_hr(order)
          else:  # use CSS to get start params
              func = lambda params: -self.loglike_css(params)
              #start_params = [.1]*(k_ar+k_ma+k_exog) # different one for k?
              start_params = self._fit_start_params_hr(order)
              if self.transparams:
                  start_params = self._invtransparams(start_params)
              bounds = [(None,)*2]*sum(order)
              mlefit = optimize.fmin_l_bfgs_b(func, start_params,
                                              approx_grad=True, m=12,
                                              pgtol=1e-7, factr=1e3,
                                              bounds=bounds, iprint=-1)
              start_params = self._transparams(mlefit[0])
          return start_params
  
      def score(self, params):
          """
          Compute the score function at params.
  
          Notes
          -----
          This is a numerical approximation.
          """
          return approx_fprime_cs(params, self.loglike, args=(False,))
  
      def hessian(self, params):
          """
          Compute the Hessian at params,
  
          Notes
          -----
          This is a numerical approximation.
          """
          return approx_hess_cs(params, self.loglike, args=(False,))
  
      def _transparams(self, params):
          """
          Transforms params to induce stationarity/invertability.
  
          Reference
          ---------
          Jones(1980)
          """
          k_ar, k_ma = self.k_ar, self.k_ma
          k = self.k_exog + self.k_trend
          newparams = np.zeros_like(params)
  
          # just copy exogenous parameters
          if k != 0:
              newparams[:k] = params[:k]
  
          # AR Coeffs
          if k_ar != 0:
              newparams[k:k+k_ar] = _ar_transparams(params[k:k+k_ar].copy())
  
          # MA Coeffs
          if k_ma != 0:
              newparams[k+k_ar:] = _ma_transparams(params[k+k_ar:].copy())
          return newparams
  
      def _invtransparams(self, start_params):
          """
          Inverse of the Jones reparameterization
          """
          k_ar, k_ma = self.k_ar, self.k_ma
          k = self.k_exog + self.k_trend
          newparams = start_params.copy()
          arcoefs = newparams[k:k+k_ar]
          macoefs = newparams[k+k_ar:]
          # AR coeffs
          if k_ar != 0:
              newparams[k:k+k_ar] = _ar_invtransparams(arcoefs)
  
          # MA coeffs
          if k_ma != 0:
              newparams[k+k_ar:k+k_ar+k_ma] = _ma_invtransparams(macoefs)
          return newparams
  
      def _get_predict_start(self, start, dynamic):
          # do some defaults
          method = getattr(self, 'method', 'mle')
          k_ar = getattr(self, 'k_ar', 0)
          k_diff = getattr(self, 'k_diff', 0)
          if start is None:
              if 'mle' in method and not dynamic:
                  start = 0
              else:
                  start = k_ar
              self._set_predict_start_date(start)  # else it's done in super
          elif isinstance(start, int):
              start = super(ARMA, self)._get_predict_start(start)
          else:  # should be on a date
              #elif 'mle' not in method or dynamic: # should be on a date
              start = _validate(start, k_ar, k_diff, self.data.dates,
                                method)
              start = super(ARMA, self)._get_predict_start(start)
          _check_arima_start(start, k_ar, k_diff, method, dynamic)
          return start
  
      def _get_predict_end(self, end, dynamic=False):
          # pass through so predict works for ARIMA and ARMA
          return super(ARMA, self)._get_predict_end(end)
  
      def geterrors(self, params):
          """
          Get the errors of the ARMA process.
  
          Parameters
          ----------
          params : array-like
              The fitted ARMA parameters
          order : array-like
              3 item iterable, with the number of AR, MA, and exogenous
              parameters, including the trend
          """
  
          #start = self._get_predict_start(start) # will be an index of a date
          #end, out_of_sample = self._get_predict_end(end)
          params = np.asarray(params)
          k_ar, k_ma = self.k_ar, self.k_ma
          k = self.k_exog + self.k_trend
  
          method = getattr(self, 'method', 'mle')
          if 'mle' in method:  # use KalmanFilter to get errors
              (y, k, nobs, k_ar, k_ma, k_lags, newparams, Z_mat, m, R_mat,
               T_mat, paramsdtype) = KalmanFilter._init_kalman_state(params,
                                                                     self)
  
              errors = KalmanFilter.geterrors(y, k, k_ar, k_ma, k_lags, nobs,
                                              Z_mat, m, R_mat, T_mat,
                                              paramsdtype)
              if isinstance(errors, tuple):
                  errors = errors[0]  # non-cython version returns a tuple
          else:  # use scipy.signal.lfilter
              y = self.endog.copy()
              k = self.k_exog + self.k_trend
              if k > 0:
                  y -= dot(self.exog, params[:k])
  
              k_ar = self.k_ar
              k_ma = self.k_ma
  
              (trendparams, exparams,
               arparams, maparams) = _unpack_params(params, (k_ar, k_ma),
                                                    self.k_trend, self.k_exog,
                                                    reverse=False)
              b, a = np.r_[1, -arparams], np.r_[1, maparams]
              zi = zeros((max(k_ar, k_ma)))
              for i in range(k_ar):
                  zi[i] = sum(-b[:i+1][::-1]*y[:i+1])
              e = lfilter(b, a, y, zi=zi)
              errors = e[0][k_ar:]
          return errors.squeeze()
  
      def predict(self, params, start=None, end=None, exog=None, dynamic=False):
          method = getattr(self, 'method', 'mle')  # don't assume fit
          #params = np.asarray(params)
  
          # will return an index of a date
          start = self._get_predict_start(start, dynamic)
          end, out_of_sample = self._get_predict_end(end, dynamic)
          if out_of_sample and (exog is None and self.k_exog > 0):
              raise ValueError("You must provide exog for ARMAX")
  
          endog = self.endog
          resid = self.geterrors(params)
          k_ar = self.k_ar
  
          if exog is not None:
              # Note: we ignore currently the index of exog if it is available
              exog = np.asarray(exog)
              if self.k_exog == 1 and exog.ndim == 1:
                  exog = exog[:, None]
  
          if out_of_sample != 0 and self.k_exog > 0:
              # we need the last k_ar exog for the lag-polynomial
              if self.k_exog > 0 and k_ar > 0 and not dynamic:
                  # need the last k_ar exog for the lag-polynomial
                  exog = np.vstack((self.exog[-k_ar:, self.k_trend:], exog))
  
          if dynamic:
              if self.k_exog > 0:
                  # need the last k_ar exog for the lag-polynomial
                  exog = np.vstack((self.exog[start - k_ar:, self.k_trend:], exog))
              #TODO: now that predict does dynamic in-sample it should
              # also return error estimates and confidence intervals
              # but how? len(endog) is not tot_obs
              out_of_sample += end - start + 1
              return _arma_predict_out_of_sample(params, out_of_sample, resid,
                                                 k_ar, self.k_ma, self.k_trend,
                                                 self.k_exog, endog, exog,
                                                 start, method)
  
          predictedvalues = _arma_predict_in_sample(start, end, endog, resid,
                                                    k_ar, method)
          if out_of_sample:
              forecastvalues = _arma_predict_out_of_sample(params, out_of_sample,
                                                           resid, k_ar,
                                                           self.k_ma,
                                                           self.k_trend,
                                                           self.k_exog, endog,
                                                           exog, method=method)
              predictedvalues = np.r_[predictedvalues, forecastvalues]
          return predictedvalues
      predict.__doc__ = _arma_predict
  
      def loglike(self, params, set_sigma2=True):
          """
          Compute the log-likelihood for ARMA(p,q) model
  
          Notes
          -----
          Likelihood used depends on the method set in fit
          """
          method = self.method
          if method in ['mle', 'css-mle']:
              return self.loglike_kalman(params, set_sigma2)
          elif method == 'css':
              return self.loglike_css(params, set_sigma2)
          else:
              raise ValueError("Method %s not understood" % method)
  
      def loglike_kalman(self, params, set_sigma2=True):
          """
          Compute exact loglikelihood for ARMA(p,q) model by the Kalman Filter.
          """
          return KalmanFilter.loglike(params, self, set_sigma2)
  
      def loglike_css(self, params, set_sigma2=True):
          """
          Conditional Sum of Squares likelihood function.
          """
          k_ar = self.k_ar
          k_ma = self.k_ma
          k = self.k_exog + self.k_trend
          y = self.endog.copy().astype(params.dtype)
          nobs = self.nobs
          # how to handle if empty?
          if self.transparams:
              newparams = self._transparams(params)
          else:
              newparams = params
          if k > 0:
              y -= dot(self.exog, newparams[:k])
          # the order of p determines how many zeros errors to set for lfilter
          b, a = np.r_[1, -newparams[k:k + k_ar]], np.r_[1, newparams[k + k_ar:]]
          zi = np.zeros((max(k_ar, k_ma)), dtype=params.dtype)
          for i in range(k_ar):
              zi[i] = sum(-b[:i + 1][::-1] * y[:i + 1])
          errors = lfilter(b, a, y, zi=zi)[0][k_ar:]
  
          ssr = np.dot(errors, errors)
          sigma2 = ssr/nobs
          if set_sigma2:
              self.sigma2 = sigma2
          llf = -nobs/2.*(log(2*pi) + log(sigma2)) - ssr/(2*sigma2)
          return llf
  
      def fit(self, start_params=None, trend='c', method="css-mle",
              transparams=True, solver='lbfgs', maxiter=50, full_output=1,
              disp=5, callback=None, **kwargs):
          """
          Fits ARMA(p,q) model using exact maximum likelihood via Kalman filter.
  
          Parameters
          ----------
          start_params : array-like, optional
              Starting parameters for ARMA(p,q). If None, the default is given
              by ARMA._fit_start_params.  See there for more information.
          transparams : bool, optional
              Whehter or not to transform the parameters to ensure stationarity.
              Uses the transformation suggested in Jones (1980).  If False,
              no checking for stationarity or invertibility is done.
          method : str {'css-mle','mle','css'}
              This is the loglikelihood to maximize.  If "css-mle", the
              conditional sum of squares likelihood is maximized and its values
              are used as starting values for the computation of the exact
              likelihood via the Kalman filter.  If "mle", the exact likelihood
              is maximized via the Kalman Filter.  If "css" the conditional sum
              of squares likelihood is maximized.  All three methods use
              `start_params` as starting parameters.  See above for more
              information.
          trend : str {'c','nc'}
              Whether to include a constant or not.  'c' includes constant,
              'nc' no constant.
          solver : str or None, optional
              Solver to be used.  The default is 'lbfgs' (limited memory
              Broyden-Fletcher-Goldfarb-Shanno).  Other choices are 'bfgs',
              'newton' (Newton-Raphson), 'nm' (Nelder-Mead), 'cg' -
              (conjugate gradient), 'ncg' (non-conjugate gradient), and
              'powell'. By default, the limited memory BFGS uses m=12 to
              approximate the Hessian, projected gradient tolerance of 1e-8 and
              factr = 1e2. You can change these by using kwargs.
          maxiter : int, optional
              The maximum number of function evaluations. Default is 50.
          tol : float
              The convergence tolerance.  Default is 1e-08.
          full_output : bool, optional
              If True, all output from solver will be available in
              the Results object's mle_retvals attribute.  Output is dependent
              on the solver.  See Notes for more information.
          disp : bool, optional
              If True, convergence information is printed.  For the default
              l_bfgs_b solver, disp controls the frequency of the output during
              the iterations. disp < 0 means no output in this case.
          callback : function, optional
              Called after each iteration as callback(xk) where xk is the current
              parameter vector.
          kwargs
              See Notes for keyword arguments that can be passed to fit.
  
          Returns
          -------
          statsmodels.tsa.arima_model.ARMAResults class
  
          See also
          --------
          statsmodels.base.model.LikelihoodModel.fit : for more information
              on using the solvers.
          ARMAResults : results class returned by fit
  
          Notes
          ------
          If fit by 'mle', it is assumed for the Kalman Filter that the initial
          unkown state is zero, and that the inital variance is
          P = dot(inv(identity(m**2)-kron(T,T)),dot(R,R.T).ravel('F')).reshape(r,
          r, order = 'F')
  
          """
          k_ar = self.k_ar
          k_ma = self.k_ma
  
          # enforce invertibility
          self.transparams = transparams
  
          endog, exog = self.endog, self.exog
          k_exog = self.k_exog
          self.nobs = len(endog)  # this is overwritten if method is 'css'
  
          # (re)set trend and handle exogenous variables
          # always pass original exog
          k_trend, exog = _make_arma_exog(endog, self.exog, trend)
  
          # Check has something to estimate
          if k_ar == 0 and k_ma == 0 and k_trend == 0 and k_exog == 0:
              raise ValueError("Estimation requires the inclusion of least one "
                           "AR term, MA term, a constant or an exogenous "
                           "variable.")
  
          # check again now that we know the trend
          _check_estimable(len(endog), k_ar + k_ma + k_exog + k_trend)
  
          self.k_trend = k_trend
          self.exog = exog    # overwrites original exog from __init__
  
          # (re)set names for this model
          self.exog_names = _make_arma_names(self.data, k_trend, (k_ar, k_ma),
                                             self.exog_names)
          k = k_trend + k_exog
  
          # choose objective function
          if k_ma == 0 and k_ar == 0:
              method = "css"  # Always CSS when no AR or MA terms
  
          self.method = method = method.lower()
  
          # adjust nobs for css
          if method == 'css':
              self.nobs = len(self.endog) - k_ar
  
          if start_params is not None:
              start_params = np.asarray(start_params)
  
          else:  # estimate starting parameters
              start_params = self._fit_start_params((k_ar, k_ma, k), method)
  
          if transparams:  # transform initial parameters to ensure invertibility
              start_params = self._invtransparams(start_params)
  
          if solver == 'lbfgs':
              kwargs.setdefault('pgtol', 1e-8)
              kwargs.setdefault('factr', 1e2)
              kwargs.setdefault('m', 12)
              kwargs.setdefault('approx_grad', True)
          mlefit = super(ARMA, self).fit(start_params, method=solver,
                                         maxiter=maxiter,
                                         full_output=full_output, disp=disp,
                                         callback=callback, **kwargs)
          params = mlefit.params
  
          if transparams:  # transform parameters back
              params = self._transparams(params)
  
          self.transparams = False  # so methods don't expect transf.
  
          normalized_cov_params = None  # TODO: fix this
          armafit = ARMAResults(self, params, normalized_cov_params)
          armafit.mle_retvals = mlefit.mle_retvals
          armafit.mle_settings = mlefit.mle_settings
          return ARMAResultsWrapper(armafit)
  
  
  #NOTE: the length of endog changes when we give a difference to fit
  #so model methods are not the same on unfit models as fit ones
  #starting to think that order of model should be put in instantiation...
  class ARIMA(ARMA):
  
      __doc__ = tsbase._tsa_doc % {"model" : _arima_model,
                                   "params" : _arima_params, "extra_params" : "",
                                   "extra_sections" : _armax_notes %
                                   {"Model" : "ARIMA"}}
  
      def __new__(cls, endog, order, exog=None, dates=None, freq=None,
                  missing='none'):
          p, d, q = order
          if d == 0:  # then we just use an ARMA model
              return ARMA(endog, (p, q), exog, dates, freq, missing)
          else:
              mod = super(ARIMA, cls).__new__(cls)
              mod.__init__(endog, order, exog, dates, freq, missing)
              return mod
  
      def __init__(self, endog, order, exog=None, dates=None, freq=None,
                   missing='none'):
          p, d, q = order
          if d > 2:
              #NOTE: to make more general, need to address the d == 2 stuff
              # in the predict method
              raise ValueError("d > 2 is not supported")
          super(ARIMA, self).__init__(endog, (p, q), exog, dates, freq, missing)
          self.k_diff = d
          self._first_unintegrate = unintegrate_levels(self.endog[:d], d)
          self.endog = np.diff(self.endog, n=d)
          #NOTE: will check in ARMA but check again since differenced now
          _check_estimable(len(self.endog), p+q)
          if exog is not None:
              self.exog = self.exog[d:]
          if d == 1:
              self.data.ynames = 'D.' + self.endog_names
          else:
              self.data.ynames = 'D{0:d}.'.format(d) + self.endog_names
          # what about exog, should we difference it automatically before
          # super call?
  
      def _get_predict_start(self, start, dynamic):
          """
          """
          #TODO: remove all these getattr and move order specification to
          # class constructor
          k_diff = getattr(self, 'k_diff', 0)
          method = getattr(self, 'method', 'mle')
          k_ar = getattr(self, 'k_ar', 0)
          if start is None:
              if 'mle' in method and not dynamic:
                  start = 0
              else:
                  start = k_ar
          elif isinstance(start, int):
                  start -= k_diff
                  try:  # catch when given an integer outside of dates index
                      start = super(ARIMA, self)._get_predict_start(start,
                                                                    dynamic)
                  except IndexError:
                      raise ValueError("start must be in series. "
                                       "got %d" % (start + k_diff))
          else:  # received a date
              start = _validate(start, k_ar, k_diff, self.data.dates,
                                method)
              start = super(ARIMA, self)._get_predict_start(start, dynamic)
          # reset date for k_diff adjustment
          self._set_predict_start_date(start + k_diff)
          return start
  
      def _get_predict_end(self, end, dynamic=False):
          """
          Returns last index to be forecast of the differenced array.
          Handling of inclusiveness should be done in the predict function.
          """
          end, out_of_sample = super(ARIMA, self)._get_predict_end(end, dynamic)
          if 'mle' not in self.method and not dynamic:
              end -= self.k_ar
  
          return end - self.k_diff, out_of_sample
  
      def fit(self, start_params=None, trend='c', method="css-mle",
              transparams=True, solver='lbfgs', maxiter=50, full_output=1,
              disp=5, callback=None, **kwargs):
          """
          Fits ARIMA(p,d,q) model by exact maximum likelihood via Kalman filter.
  
          Parameters
          ----------
          start_params : array-like, optional
              Starting parameters for ARMA(p,q).  If None, the default is given
              by ARMA._fit_start_params.  See there for more information.
          transparams : bool, optional
              Whehter or not to transform the parameters to ensure stationarity.
              Uses the transformation suggested in Jones (1980).  If False,
              no checking for stationarity or invertibility is done.
          method : str {'css-mle','mle','css'}
              This is the loglikelihood to maximize.  If "css-mle", the
              conditional sum of squares likelihood is maximized and its values
              are used as starting values for the computation of the exact
              likelihood via the Kalman filter.  If "mle", the exact likelihood
              is maximized via the Kalman Filter.  If "css" the conditional sum
              of squares likelihood is maximized.  All three methods use
              `start_params` as starting parameters.  See above for more
              information.
          trend : str {'c','nc'}
              Whether to include a constant or not.  'c' includes constant,
              'nc' no constant.
          solver : str or None, optional
              Solver to be used.  The default is 'lbfgs' (limited memory
              Broyden-Fletcher-Goldfarb-Shanno).  Other choices are 'bfgs',
              'newton' (Newton-Raphson), 'nm' (Nelder-Mead), 'cg' -
              (conjugate gradient), 'ncg' (non-conjugate gradient), and
              'powell'. By default, the limited memory BFGS uses m=12 to
              approximate the Hessian, projected gradient tolerance of 1e-8 and
              factr = 1e2. You can change these by using kwargs.
          maxiter : int, optional
              The maximum number of function evaluations. Default is 50.
          tol : float
              The convergence tolerance.  Default is 1e-08.
          full_output : bool, optional
              If True, all output from solver will be available in
              the Results object's mle_retvals attribute.  Output is dependent
              on the solver.  See Notes for more information.
          disp : bool, optional
              If True, convergence information is printed.  For the default
              l_bfgs_b solver, disp controls the frequency of the output during
              the iterations. disp < 0 means no output in this case.
          callback : function, optional
              Called after each iteration as callback(xk) where xk is the current
              parameter vector.
          kwargs
              See Notes for keyword arguments that can be passed to fit.
  
          Returns
          -------
          `statsmodels.tsa.arima.ARIMAResults` class
  
          See also
          --------
          statsmodels.base.model.LikelihoodModel.fit : for more information
              on using the solvers.
          ARIMAResults : results class returned by fit
  
          Notes
          ------
          If fit by 'mle', it is assumed for the Kalman Filter that the initial
          unkown state is zero, and that the inital variance is
          P = dot(inv(identity(m**2)-kron(T,T)),dot(R,R.T).ravel('F')).reshape(r,
          r, order = 'F')
  
          """
          mlefit = super(ARIMA, self).fit(start_params, trend,
                                             method, transparams, solver,
                                             maxiter, full_output, disp,
                                             callback, **kwargs)
          normalized_cov_params = None  # TODO: fix this?
          arima_fit = ARIMAResults(self, mlefit._results.params,
                                   normalized_cov_params)
          arima_fit.k_diff = self.k_diff
  
          arima_fit.mle_retvals = mlefit.mle_retvals
          arima_fit.mle_settings = mlefit.mle_settings
  
          return ARIMAResultsWrapper(arima_fit)
  
      def predict(self, params, start=None, end=None, exog=None, typ='linear',
                  dynamic=False):
          # go ahead and convert to an index for easier checking
          if isinstance(start, (string_types, datetime)):
              start = _index_date(start, self.data.dates)
          if typ == 'linear':
              if not dynamic or (start != self.k_ar + self.k_diff and
                                 start is not None):
                  return super(ARIMA, self).predict(params, start, end, exog,
                                                    dynamic)
              else:
                  # need to assume pre-sample residuals are zero
                  # do this by a hack
                  q = self.k_ma
                  self.k_ma = 0
                  predictedvalues = super(ARIMA, self).predict(params, start,
                                                               end, exog,
                                                               dynamic)
                  self.k_ma = q
                  return predictedvalues
          elif typ == 'levels':
              endog = self.data.endog
              if not dynamic:
                  predict = super(ARIMA, self).predict(params, start, end, exog,
                                                       dynamic)
  
                  start = self._get_predict_start(start, dynamic)
                  end, out_of_sample = self._get_predict_end(end)
                  d = self.k_diff
                  if 'mle' in self.method:
                      start += d - 1  # for case where d == 2
                      end += d - 1
                      # add each predicted diff to lagged endog
                      if out_of_sample:
                          fv = predict[:-out_of_sample] + endog[start:end+1]
                          if d == 2:  #TODO: make a general solution to this
                              fv += np.diff(endog[start - 1:end + 1])
                          levels = unintegrate_levels(endog[-d:], d)
                          fv = np.r_[fv,
                                     unintegrate(predict[-out_of_sample:],
                                                 levels)[d:]]
                      else:
                          fv = predict + endog[start:end + 1]
                          if d == 2:
                              fv += np.diff(endog[start - 1:end + 1])
                  else:
                      k_ar = self.k_ar
                      if out_of_sample:
                          fv = (predict[:-out_of_sample] +
                                endog[max(start, self.k_ar-1):end+k_ar+1])
                          if d == 2:
                              fv += np.diff(endog[start - 1:end + 1])
                          levels = unintegrate_levels(endog[-d:], d)
                          fv = np.r_[fv,
                                     unintegrate(predict[-out_of_sample:],
                                                 levels)[d:]]
                      else:
                          fv = predict + endog[max(start, k_ar):end+k_ar+1]
                          if d == 2:
                              fv += np.diff(endog[start - 1:end + 1])
              else:
                  #IFF we need to use pre-sample values assume pre-sample
                  # residuals are zero, do this by a hack
                  if start == self.k_ar + self.k_diff or start is None:
                      # do the first k_diff+1 separately
                      p = self.k_ar
                      q = self.k_ma
                      k_exog = self.k_exog
                      k_trend = self.k_trend
                      k_diff = self.k_diff
                      (trendparam, exparams,
                       arparams, maparams) = _unpack_params(params, (p, q),
                                                            k_trend,
                                                            k_exog,
                                                            reverse=True)
                      # this is the hack
                      self.k_ma = 0
  
                      predict = super(ARIMA, self).predict(params, start, end,
                                                           exog, dynamic)
                      if not start:
                          start = self._get_predict_start(start, dynamic)
                          start += k_diff
                      self.k_ma = q
                      return endog[start-1] + np.cumsum(predict)
                  else:
                      predict = super(ARIMA, self).predict(params, start, end,
                                                           exog, dynamic)
                      return endog[start-1] + np.cumsum(predict)
              return fv
  
          else:  # pragma : no cover
              raise ValueError("typ %s not understood" % typ)
  
      predict.__doc__ = _arima_predict
  
  
  class ARMAResults(tsbase.TimeSeriesModelResults):
      """
      Class to hold results from fitting an ARMA model.
  
      Parameters
      ----------
      model : ARMA instance
          The fitted model instance
      params : array
          Fitted parameters
      normalized_cov_params : array, optional
          The normalized variance covariance matrix
      scale : float, optional
          Optional argument to scale the variance covariance matrix.
  
      Returns
      --------
      **Attributes**
  
      aic : float
          Akaike Information Criterion
          :math:`-2*llf+2* df_model`
          where `df_model` includes all AR parameters, MA parameters, constant
          terms parameters on constant terms and the variance.
      arparams : array
          The parameters associated with the AR coefficients in the model.
      arroots : array
          The roots of the AR coefficients are the solution to
          (1 - arparams[0]*z - arparams[1]*z**2 -...- arparams[p-1]*z**k_ar) = 0
          Stability requires that the roots in modulus lie outside the unit
          circle.
      bic : float
          Bayes Information Criterion
          -2*llf + log(nobs)*df_model
          Where if the model is fit using conditional sum of squares, the
          number of observations `nobs` does not include the `p` pre-sample
          observations.
      bse : array
          The standard errors of the parameters. These are computed using the
          numerical Hessian.
      df_model : array
          The model degrees of freedom = `k_exog` + `k_trend` + `k_ar` + `k_ma`
      df_resid : array
          The residual degrees of freedom = `nobs` - `df_model`
      fittedvalues : array
          The predicted values of the model.
      hqic : float
          Hannan-Quinn Information Criterion
          -2*llf + 2*(`df_model`)*log(log(nobs))
          Like `bic` if the model is fit using conditional sum of squares then
          the `k_ar` pre-sample observations are not counted in `nobs`.
      k_ar : int
          The number of AR coefficients in the model.
      k_exog : int
          The number of exogenous variables included in the model. Does not
          include the constant.
      k_ma : int
          The number of MA coefficients.
      k_trend : int
          This is 0 for no constant or 1 if a constant is included.
      llf : float
          The value of the log-likelihood function evaluated at `params`.
      maparams : array
          The value of the moving average coefficients.
      maroots : array
          The roots of the MA coefficients are the solution to
          (1 + maparams[0]*z + maparams[1]*z**2 + ... + maparams[q-1]*z**q) = 0
          Stability requires that the roots in modules lie outside the unit
          circle.
      model : ARMA instance
          A reference to the model that was fit.
      nobs : float
          The number of observations used to fit the model. If the model is fit
          using exact maximum likelihood this is equal to the total number of
          observations, `n_totobs`. If the model is fit using conditional
          maximum likelihood this is equal to `n_totobs` - `k_ar`.
      n_totobs : float
          The total number of observations for `endog`. This includes all
          observations, even pre-sample values if the model is fit using `css`.
      params : array
          The parameters of the model. The order of variables is the trend
          coefficients and the `k_exog` exognous coefficients, then the
          `k_ar` AR coefficients, and finally the `k_ma` MA coefficients.
      pvalues : array
          The p-values associated with the t-values of the coefficients. Note
          that the coefficients are assumed to have a Student's T distribution.
      resid : array
          The model residuals. If the model is fit using 'mle' then the
          residuals are created via the Kalman Filter. If the model is fit
          using 'css' then the residuals are obtained via `scipy.signal.lfilter`
          adjusted such that the first `k_ma` residuals are zero. These zero
          residuals are not returned.
      scale : float
          This is currently set to 1.0 and not used by the model or its results.
      sigma2 : float
          The variance of the residuals. If the model is fit by 'css',
          sigma2 = ssr/nobs, where ssr is the sum of squared residuals. If
          the model is fit by 'mle', then sigma2 = 1/nobs * sum(v**2 / F)
          where v is the one-step forecast error and F is the forecast error
          variance. See `nobs` for the difference in definitions depending on the
          fit.
      """
      _cache = {}
  
      #TODO: use this for docstring when we fix nobs issue
  
      def __init__(self, model, params, normalized_cov_params=None, scale=1.):
          super(ARMAResults, self).__init__(model, params, normalized_cov_params,
                                            scale)
          self.sigma2 = model.sigma2
          nobs = model.nobs
          self.nobs = nobs
          k_exog = model.k_exog
          self.k_exog = k_exog
          k_trend = model.k_trend
          self.k_trend = k_trend
          k_ar = model.k_ar
          self.k_ar = k_ar
          self.n_totobs = len(model.endog)
          k_ma = model.k_ma
          self.k_ma = k_ma
          df_model = k_exog + k_trend + k_ar + k_ma
          self._ic_df_model = df_model + 1
          self.df_model = df_model
          self.df_resid = self.nobs - df_model
          self._cache = resettable_cache()
  
      @cache_readonly
      def arroots(self):
          return np.roots(np.r_[1, -self.arparams])**-1
  
      @cache_readonly
      def maroots(self):
          return np.roots(np.r_[1, self.maparams])**-1
  
      @cache_readonly
      def arfreq(self):
          r"""
          Returns the frequency of the AR roots.
  
          This is the solution, x, to z = abs(z)*exp(2j*np.pi*x) where z are the
          roots.
          """
          z = self.arroots
          if not z.size:
              return
          return np.arctan2(z.imag, z.real) / (2*pi)
  
      @cache_readonly
      def mafreq(self):
          r"""
          Returns the frequency of the MA roots.
  
          This is the solution, x, to z = abs(z)*exp(2j*np.pi*x) where z are the
          roots.
          """
          z = self.maroots
          if not z.size:
              return
          return np.arctan2(z.imag, z.real) / (2*pi)
  
      @cache_readonly
      def arparams(self):
          k = self.k_exog + self.k_trend
          return self.params[k:k+self.k_ar]
  
      @cache_readonly
      def maparams(self):
          k = self.k_exog + self.k_trend
          k_ar = self.k_ar
          return self.params[k+k_ar:]
  
      @cache_readonly
      def llf(self):
          return self.model.loglike(self.params)
  
      @cache_readonly
      def bse(self):
          params = self.params
          hess = self.model.hessian(params)
          if len(params) == 1:  # can't take an inverse, ensure 1d
              return np.sqrt(-1./hess[0])
          return np.sqrt(np.diag(-inv(hess)))
  
      def cov_params(self):  # add scale argument?
          params = self.params
          hess = self.model.hessian(params)
          return -inv(hess)
  
      @cache_readonly
      def aic(self):
          return -2 * self.llf + 2 * self._ic_df_model
  
      @cache_readonly
      def bic(self):
          nobs = self.nobs
          return -2 * self.llf + np.log(nobs) * self._ic_df_model
  
      @cache_readonly
      def hqic(self):
          nobs = self.nobs
          return -2 * self.llf + 2 * np.log(np.log(nobs)) * self._ic_df_model
  
      @cache_readonly
      def fittedvalues(self):
          model = self.model
          endog = model.endog.copy()
          k_ar = self.k_ar
          exog = model.exog  # this is a copy
          if exog is not None:
              if model.method == "css" and k_ar > 0:
                  exog = exog[k_ar:]
          if model.method == "css" and k_ar > 0:
              endog = endog[k_ar:]
          fv = endog - self.resid
          # add deterministic part back in
          #k = self.k_exog + self.k_trend
          #TODO: this needs to be commented out for MLE with constant
          #if k != 0:
          #    fv += dot(exog, self.params[:k])
          return fv
  
      @cache_readonly
      def resid(self):
          return self.model.geterrors(self.params)
  
      @cache_readonly
      def pvalues(self):
      #TODO: same for conditional and unconditional?
          df_resid = self.df_resid
          return t.sf(np.abs(self.tvalues), df_resid) * 2
  
      def predict(self, start=None, end=None, exog=None, dynamic=False):
          return self.model.predict(self.params, start, end, exog, dynamic)
      predict.__doc__ = _arma_results_predict
  
      def _forecast_error(self, steps):
          sigma2 = self.sigma2
          ma_rep = arma2ma(np.r_[1, -self.arparams],
                           np.r_[1, self.maparams], nobs=steps)
  
          fcasterr = np.sqrt(sigma2 * np.cumsum(ma_rep**2))
          return fcasterr
  
      def _forecast_conf_int(self, forecast, fcasterr, alpha):
          const = norm.ppf(1 - alpha / 2.)
          conf_int = np.c_[forecast - const * fcasterr,
                           forecast + const * fcasterr]
  
          return conf_int
  
      def forecast(self, steps=1, exog=None, alpha=.05):
          """
          Out-of-sample forecasts
  
          Parameters
          ----------
          steps : int
              The number of out of sample forecasts from the end of the
              sample.
          exog : array
              If the model is an ARMAX, you must provide out of sample
              values for the exogenous variables. This should not include
              the constant.
          alpha : float
              The confidence intervals for the forecasts are (1 - alpha) %
  
          Returns
          -------
          forecast : array
              Array of out of sample forecasts
          stderr : array
              Array of the standard error of the forecasts.
          conf_int : array
              2d array of the confidence interval for the forecast
          """
          if exog is not None:
              #TODO: make a convenience function for this. we're using the
              # pattern elsewhere in the codebase
              exog = np.asarray(exog)
              if self.k_exog == 1 and exog.ndim == 1:
                  exog = exog[:, None]
              elif exog.ndim == 1:
                  if len(exog) != self.k_exog:
                      raise ValueError("1d exog given and len(exog) != k_exog")
                  exog = exog[None, :]
              if exog.shape[0] != steps:
                  raise ValueError("new exog needed for each step")
              # prepend in-sample exog observations
              if self.k_ar > 0:
                  exog = np.vstack((self.model.exog[-self.k_ar:, self.k_trend:],
                                    exog))
  
          forecast = _arma_predict_out_of_sample(self.params,
                                                 steps, self.resid, self.k_ar,
                                                 self.k_ma, self.k_trend,
                                                 self.k_exog, self.model.endog,
                                                 exog, method=self.model.method)
  
          # compute the standard errors
          fcasterr = self._forecast_error(steps)
          conf_int = self._forecast_conf_int(forecast, fcasterr, alpha)
  
          return forecast, fcasterr, conf_int
  
      def summary(self, alpha=.05):
          """Summarize the Model
  
          Parameters
          ----------
          alpha : float, optional
              Significance level for the confidence intervals.
  
          Returns
          -------
          smry : Summary instance
              This holds the summary table and text, which can be printed or
              converted to various output formats.
  
          See Also
          --------
          statsmodels.iolib.summary.Summary
          """
          from statsmodels.iolib.summary import Summary
          model = self.model
          title = model.__class__.__name__ + ' Model Results'
          method = model.method
          # get sample TODO: make better sample machinery for estimation
          k_diff = getattr(self, 'k_diff', 0)
          if 'mle' in method:
              start = k_diff
          else:
              start = k_diff + self.k_ar
          if self.data.dates is not None:
              dates = self.data.dates
              sample = [dates[start].strftime('%m-%d-%Y')]
              sample += ['- ' + dates[-1].strftime('%m-%d-%Y')]
          else:
              sample = str(start) + ' - ' + str(len(self.data.orig_endog))
  
          k_ar, k_ma = self.k_ar, self.k_ma
          if not k_diff:
              order = str((k_ar, k_ma))
          else:
              order = str((k_ar, k_diff, k_ma))
          top_left = [('Dep. Variable:', None),
                      ('Model:', [model.__class__.__name__ + order]),
                      ('Method:', [method]),
                      ('Date:', None),
                      ('Time:', None),
                      ('Sample:', [sample[0]]),
                      ('', [sample[1]])
                      ]
  
          top_right = [
                       ('No. Observations:', [str(len(self.model.endog))]),
                       ('Log Likelihood', ["%#5.3f" % self.llf]),
                       ('S.D. of innovations', ["%#5.3f" % self.sigma2**.5]),
                       ('AIC', ["%#5.3f" % self.aic]),
                       ('BIC', ["%#5.3f" % self.bic]),
                       ('HQIC', ["%#5.3f" % self.hqic])]
  
          smry = Summary()
          smry.add_table_2cols(self, gleft=top_left, gright=top_right,
                               title=title)
          smry.add_table_params(self, alpha=alpha, use_t=False)
  
          # Make the roots table
          from statsmodels.iolib.table import SimpleTable
  
          if k_ma and k_ar:
              arstubs = ["AR.%d" % i for i in range(1, k_ar + 1)]
              mastubs = ["MA.%d" % i for i in range(1, k_ma + 1)]
              stubs = arstubs + mastubs
              roots = np.r_[self.arroots, self.maroots]
              freq = np.r_[self.arfreq, self.mafreq]
          elif k_ma:
              mastubs = ["MA.%d" % i for i in range(1, k_ma + 1)]
              stubs = mastubs
              roots = self.maroots
              freq = self.mafreq
          elif k_ar:
              arstubs = ["AR.%d" % i for i in range(1, k_ar + 1)]
              stubs = arstubs
              roots = self.arroots
              freq = self.arfreq
          else:  # 0,0 model
              stubs = []
          if len(stubs):  # not 0, 0
              modulus = np.abs(roots)
              data = np.column_stack((roots.real, roots.imag, modulus, freq))
              roots_table = SimpleTable(data,
                                        headers=['           Real',
                                                 '         Imaginary',
                                                 '         Modulus',
                                                 '        Frequency'],
                                        title="Roots",
                                        stubs=stubs,
                                        data_fmts=["%17.4f", "%+17.4fj",
                                                   "%17.4f", "%17.4f"])
  
              smry.tables.append(roots_table)
          return smry
  
      def summary2(self, title=None, alpha=.05, float_format="%.4f"):
          """Experimental summary function for ARIMA Results
  
          Parameters
          -----------
          title : string, optional
              Title for the top table. If not None, then this replaces the
              default title
          alpha : float
              significance level for the confidence intervals
          float_format: string
              print format for floats in parameters summary
  
          Returns
          -------
          smry : Summary instance
              This holds the summary table and text, which can be printed or
              converted to various output formats.
  
          See Also
          --------
          statsmodels.iolib.summary2.Summary : class to hold summary
              results
  
          """
          from pandas import DataFrame
          # get sample TODO: make better sample machinery for estimation
          k_diff = getattr(self, 'k_diff', 0)
          if 'mle' in self.model.method:
              start = k_diff
          else:
              start = k_diff + self.k_ar
          if self.data.dates is not None:
              dates = self.data.dates
              sample = [dates[start].strftime('%m-%d-%Y')]
              sample += [dates[-1].strftime('%m-%d-%Y')]
          else:
              sample = str(start) + ' - ' + str(len(self.data.orig_endog))
  
          k_ar, k_ma = self.k_ar, self.k_ma
  
          # Roots table
          if k_ma and k_ar:
              arstubs = ["AR.%d" % i for i in range(1, k_ar + 1)]
              mastubs = ["MA.%d" % i for i in range(1, k_ma + 1)]
              stubs = arstubs + mastubs
              roots = np.r_[self.arroots, self.maroots]
              freq = np.r_[self.arfreq, self.mafreq]
          elif k_ma:
              mastubs = ["MA.%d" % i for i in range(1, k_ma + 1)]
              stubs = mastubs
              roots = self.maroots
              freq = self.mafreq
          elif k_ar:
              arstubs = ["AR.%d" % i for i in range(1, k_ar + 1)]
              stubs = arstubs
              roots = self.arroots
              freq = self.arfreq
          else:  # 0, 0 order
              stubs = []
  
          if len(stubs):
              modulus = np.abs(roots)
              data = np.column_stack((roots.real, roots.imag, modulus, freq))
              data = DataFrame(data)
              data.columns = ['Real', 'Imaginary', 'Modulus', 'Frequency']
              data.index = stubs
  
          # Summary
          from statsmodels.iolib import summary2
          smry = summary2.Summary()
  
          # Model info
          model_info = summary2.summary_model(self)
          model_info['Method:'] = self.model.method
          model_info['Sample:'] = sample[0]
          model_info['   '] = sample[-1]
          model_info['S.D. of innovations:'] = "%#5.3f" % self.sigma2**.5
          model_info['HQIC:'] = "%#5.3f" % self.hqic
          model_info['No. Observations:'] = str(len(self.model.endog))
  
          # Parameters
          params = summary2.summary_params(self)
          smry.add_dict(model_info)
          smry.add_df(params, float_format=float_format)
          if len(stubs):
              smry.add_df(data, float_format="%17.4f")
          smry.add_title(results=self, title=title)
  
          return smry
  
      def plot_predict(self, start=None, end=None, exog=None, dynamic=False,
                       alpha=.05, plot_insample=True, ax=None):
          from statsmodels.graphics.utils import _import_mpl, create_mpl_ax
          _ = _import_mpl()
          fig, ax = create_mpl_ax(ax)
  
  
          # use predict so you set dates
          forecast = self.predict(start, end, exog, dynamic)
          # doing this twice. just add a plot keyword to predict?
          start = self.model._get_predict_start(start, dynamic=False)
          end, out_of_sample = self.model._get_predict_end(end, dynamic=False)
  
          if out_of_sample:
              steps = out_of_sample
              fc_error = self._forecast_error(steps)
              conf_int = self._forecast_conf_int(forecast[-steps:], fc_error,
                                                 alpha)
  
  
          if hasattr(self.data, "predict_dates"):
              from pandas import TimeSeries
              forecast = TimeSeries(forecast, index=self.data.predict_dates)
              ax = forecast.plot(ax=ax, label='forecast')
          else:
              ax.plot(forecast)
  
          x = ax.get_lines()[-1].get_xdata()
          if out_of_sample:
              label = "{0:.0%} confidence interval".format(1 - alpha)
              ax.fill_between(x[-out_of_sample:], conf_int[:, 0], conf_int[:, 1],
                              color='gray', alpha=.5, label=label)
  
          if plot_insample:
              ax.plot(x[:end + 1 - start], self.model.endog[start:end+1],
                      label=self.model.endog_names)
  
          ax.legend(loc='best')
  
          return fig
      plot_predict.__doc__ = _plot_predict
  
  
  class ARMAResultsWrapper(wrap.ResultsWrapper):
      _attrs = {}
      _wrap_attrs = wrap.union_dicts(tsbase.TimeSeriesResultsWrapper._wrap_attrs,
                                     _attrs)
      _methods = {}
      _wrap_methods = wrap.union_dicts(tsbase.TimeSeriesResultsWrapper._wrap_methods,
                                       _methods)
  wrap.populate_wrapper(ARMAResultsWrapper, ARMAResults)
  
  
  class ARIMAResults(ARMAResults):
      def predict(self, start=None, end=None, exog=None, typ='linear',
                  dynamic=False):
          return self.model.predict(self.params, start, end, exog, typ, dynamic)
      predict.__doc__ = _arima_results_predict
  
      def _forecast_error(self, steps):
          sigma2 = self.sigma2
          ma_rep = arma2ma(np.r_[1, -self.arparams],
                           np.r_[1, self.maparams], nobs=steps)
  
          fcerr = np.sqrt(np.cumsum(cumsum_n(ma_rep, self.k_diff)**2)*sigma2)
          return fcerr
  
      def _forecast_conf_int(self, forecast, fcerr, alpha):
          const = norm.ppf(1 - alpha/2.)
          conf_int = np.c_[forecast - const*fcerr, forecast + const*fcerr]
          return conf_int
  
      def forecast(self, steps=1, exog=None, alpha=.05):
          """
          Out-of-sample forecasts
  
          Parameters
          ----------
          steps : int
              The number of out of sample forecasts from the end of the
              sample.
          exog : array
              If the model is an ARIMAX, you must provide out of sample
              values for the exogenous variables. This should not include
              the constant.
          alpha : float
              The confidence intervals for the forecasts are (1 - alpha) %
  
          Returns
          -------
          forecast : array
              Array of out of sample forecasts
          stderr : array
              Array of the standard error of the forecasts.
          conf_int : array
              2d array of the confidence interval for the forecast
  
          Notes
          -----
          Prediction is done in the levels of the original endogenous variable.
          If you would like prediction of differences in levels use `predict`.
          """
          if exog is not None:
              if self.k_exog == 1 and exog.ndim == 1:
                  exog = exog[:, None]
              if exog.shape[0] != steps:
                  raise ValueError("new exog needed for each step")
              # prepend in-sample exog observations
              if self.k_ar > 0:
                  exog = np.vstack((self.model.exog[-self.k_ar:, self.k_trend:],
                                    exog))
          forecast = _arma_predict_out_of_sample(self.params, steps, self.resid,
                                                 self.k_ar, self.k_ma,
                                                 self.k_trend, self.k_exog,
                                                 self.model.endog,
                                                 exog, method=self.model.method)
  
          d = self.k_diff
          endog = self.model.data.endog[-d:]
          forecast = unintegrate(forecast, unintegrate_levels(endog, d))[d:]
  
          # get forecast errors
          fcerr = self._forecast_error(steps)
          conf_int = self._forecast_conf_int(forecast, fcerr, alpha)
          return forecast, fcerr, conf_int
  
      def plot_predict(self, start=None, end=None, exog=None, dynamic=False,
                       alpha=.05, plot_insample=True, ax=None):
          from statsmodels.graphics.utils import _import_mpl, create_mpl_ax
          _ = _import_mpl()
          fig, ax = create_mpl_ax(ax)
  
          # use predict so you set dates
          forecast = self.predict(start, end, exog, 'levels', dynamic)
          # doing this twice. just add a plot keyword to predict?
          start = self.model._get_predict_start(start, dynamic=dynamic)
          end, out_of_sample = self.model._get_predict_end(end, dynamic=dynamic)
  
          if out_of_sample:
              steps = out_of_sample
              fc_error = self._forecast_error(steps)
              conf_int = self._forecast_conf_int(forecast[-steps:], fc_error,
                                                 alpha)
  
          if hasattr(self.data, "predict_dates"):
              from pandas import TimeSeries
              forecast = TimeSeries(forecast, index=self.data.predict_dates)
              ax = forecast.plot(ax=ax, label='forecast')
          else:
              ax.plot(forecast)
  
          x = ax.get_lines()[-1].get_xdata()
          if out_of_sample:
              label = "{0:.0%} confidence interval".format(1 - alpha)
              ax.fill_between(x[-out_of_sample:], conf_int[:, 0], conf_int[:, 1],
                              color='gray', alpha=.5, label=label)
  
          if plot_insample:
              import re
              k_diff = self.k_diff
              label = re.sub("D\d*\.", "", self.model.endog_names)
              levels = unintegrate(self.model.endog,
                                   self.model._first_unintegrate)
              ax.plot(x[:end + 1 - start],
                      levels[start + k_diff:end + k_diff + 1], label=label)
  
          ax.legend(loc='best')
  
          return fig
  
      plot_predict.__doc__ = _arima_plot_predict
  
  
  class ARIMAResultsWrapper(ARMAResultsWrapper):
      pass
  wrap.populate_wrapper(ARIMAResultsWrapper, ARIMAResults)
  
  
  if __name__ == "__main__":
      import statsmodels.api as sm
  
      # simulate arma process
      from statsmodels.tsa.arima_process import arma_generate_sample
      y = arma_generate_sample([1., -.75], [1., .25], nsample=1000)
      arma = ARMA(y)
      res = arma.fit(trend='nc', order=(1, 1))
  
      np.random.seed(12345)
      y_arma22 = arma_generate_sample([1., -.85, .35], [1, .25, -.9],
                                      nsample=1000)
      arma22 = ARMA(y_arma22)
      res22 = arma22.fit(trend='nc', order=(2, 2))
  
      # test CSS
      arma22_css = ARMA(y_arma22)
      res22css = arma22_css.fit(trend='nc', order=(2, 2), method='css')
  
      data = sm.datasets.sunspots.load()
      ar = ARMA(data.endog)
      resar = ar.fit(trend='nc', order=(9, 0))
  
      y_arma31 = arma_generate_sample([1, -.75, -.35, .25], [.1],
                                      nsample=1000)
  
      arma31css = ARMA(y_arma31)
      res31css = arma31css.fit(order=(3, 1), method="css", trend="nc",
                               transparams=True)
  
      y_arma13 = arma_generate_sample([1., -.75], [1, .25, -.5, .8],
                                      nsample=1000)
      arma13css = ARMA(y_arma13)
      res13css = arma13css.fit(order=(1, 3), method='css', trend='nc')
  
  # check css for p < q and q < p
      y_arma41 = arma_generate_sample([1., -.75, .35, .25, -.3], [1, -.35],
                                      nsample=1000)
      arma41css = ARMA(y_arma41)
      res41css = arma41css.fit(order=(4, 1), trend='nc', method='css')
  
      y_arma14 = arma_generate_sample([1, -.25], [1., -.75, .35, .25, -.3],
                                      nsample=1000)
      arma14css = ARMA(y_arma14)
      res14css = arma14css.fit(order=(4, 1), trend='nc', method='css')
  
      # ARIMA Model
      from statsmodels.datasets import webuse
      dta = webuse('wpi1')
      wpi = dta['wpi']
  
      mod = ARIMA(wpi, (1, 1, 1)).fit()
  