Design: Dates in Statsmodels time series models

[Chad Fulton]

Hi,

We're trying to figure out a good way to move forward on refactoring date handling to hopefully improve / simplify the time series models' usage of dates in Statsmodels.

A little bit of background:

- Time series models currently support dates, primarily by leveraging Pandas functionality.

- The code was written quite a while ago, I think around Pandas v0.9 or so. As a result, it has a certain amount of code to work around issues in earlier versions of Pandas, and much of it is surely no longer required (this is one of the reasons for refactoring)

- The current works great for the primary use cases, but has an increasing number of corner cases since it's so old.

A Statsmodels issue with more description about the current state and some questions / ideas for moving forward can be found at https://github.com/statsmodels/statsmodels/issues/3124, and it would be great to get comments. The following post to the Statsmodels mailing list gives some more details of the goals that occurred to me https://groups.google.com/forum/#!topic/pystatsmodels/e1V2Y9oFfOA.

If you have any thoughts on what to do or what to avoid, I'm sure we'd find your input helpful.

Chad