title: Statsmodels arima model returns error
body: <p>I have started to learn statsmodels package and can't implement basic forecasting with arima.</p>
  
  <p>Error is </p>
  
  <blockquote>
    <p>ValueError: Given a pandas object and the index does not contain dates</p>
  </blockquote>
  
  <p>I am trying this as a version:</p>
  
  <pre><code>df = make_df(filename_data)
  
  y = []
  x = []
  
  # here I am preparing day by day sequence as that I have inconsistent data and I set 0 to NAN values
  
  start_date = df[date_col].min()
  end_date = df[date_col].max()
  
  
  
  while start_date &lt;= end_date:
  
      x.append(start_date)
  
      try:
          y.append(
              df[df[date_col] == start_date][rev_col].values[0])
      except:
          y.append(0)
  
      start_date += datetime.timedelta(days=1)
  
  y = np.array(y)
  x = np.array(x)
  
  y = pd.TimeSeries(y, index=x)
  print(y)
  arma_mod = sm.tsa.ARMA(y, order=(2,2))
  arma_res = arma_mod.fit(trend='nc', disp=-1)
  </code></pre>
  
  <p>Before that I tried</p>
  
  <pre><code>df = make_df(filename_data)
  
  y = np.array(df[rev_col])
  x = np.array(df[date_col])
  
  y = pd.TimeSeries(y, index=x)
  </code></pre>
  
  <p>Why is it happening?</p>
  
  <p>The date - revenue data looks OK:</p>
  
  <pre><code>2014-08-04      59477
  2014-08-05      29989
  2014-08-06      29989
  2014-08-07     116116
  </code></pre>