Cannot import RollingOLS: ModuleNotFoundError: No module named 'statsmodels.regression.rolling'

Question

I am running the following command as described by the docs

from statsmodels.regression.rolling import RollingOLS

But it raises the error

ModuleNotFoundError: No module named 'statsmodels.regression.rolling'

How can I solve this problem?

Answer 1

The documentation you linked to is the development version for Statsmodels version 0.11.

As of this post, that has not been released yet. However, there is a release candidate out so it should probably be released in the next few weeks. If you need that feature sooner, you can install the development version from Github.