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I want to create a state space with a mutivariate endog data frame:

data_augmented = pd.DataFrame({'x' : endog, 'Y_t_1': Y_t_1})

but when I run the SARIMAX command:

mod = sm.tsa.statespace.SARIMAX(data_augmented, order=(1,1,1))

I get the following error:

ValueError: SARIMAX models require univariate `endog`. Got shape (300, 2).

data_augmented has two states/variables (300, 2). I was expecting the function to create the multivariate stace space. Ultimately, I want the Kalman Filter to use the multivariate state space model to estimate unobservable states

toyota Supra
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Victor Saucedo
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