Results are completely different
As you can see here, the code is the same yet it yields completely different result. It's also evaluating the same dates! What's going on here?
Also what does it mean if the only coefficient it has is sigma2?
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It looks like auto_arima changed its parameter names. Exchanging exogenous= with X= worked for me.
'The exogenous argument has been deprecated in favor of X - See the RFC and the PR for more information.
Beginning in version 2.0, the exogenous argument will raise an error.'
Even changing to X=, I get different results. Maybe the algorithm itself has improved? As my abs(LL)s and ICs are also closer to 0 than the video.
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