I'm trying to fit the dynamic factor model to my data for forecasting but I'm getting this error. 'dk'
is a dataframe of stock index time series data.
I'm doing the following:
dk_dfm = dk.loc['08-Nov-15':,'std_Volume':'std_IR']
mod = statsmodels.api.tsa.DynamicFactor(endog = dk_dfm, k_factors=1, factor_order=2, error_order=3)
till here it's getting processed.
dfm = mod.fit(method='newton', disp=False)
here i'm getting the error: 'object arrays are not supported'
you can try
dk_dfm = dk.loc['08-Nov-15':,'std_Volume':'std_IR'].values
to get a numpy array, I have no experience with statsmodels but this solution tends to work for this error EDIT: The fix that worked was upgrading to version 0.10rc2