Why ImportError: cannot import name 'AutoReg' from 'statsmodels.tsa.ar_model' occuring?

Question

I am trying to do MLE regression using AR(p) by importing the module from statsmodels.tsa.ar_model import AutoReg, ar_select_order, but this ImportError keeps coming. How to solve this? Is there any other way I can do Autoregression in Python?

Answer 1

AutoReg is a newer version of the previous AR model, it is only available in statsmodels with version >= 0.11.1. You may check your statsmodels version. If it is lower, you may do

pip install statsmodels --upgrade

Answer 2

do pip install statsmodels --upgrade and restart the environment.