Always return dictionary from data_info

[jessegrabowski]

VARMAX forecasting is broken when there is no exogenous data because the return value of data_info is incorrect. I also added tests that would have caught this bug.

[Dekermanjian]

Jesse, the tests looked good to me!

[Dekermanjian]

Is len(exog_state_names)>0 intended to handle when a user inputs an empty list? What about if a user inputs a dictionary with an empty list? I think if you have something like {'endog1': [], 'endog2': []} then you will get a True.

[jessegrabowski]

Fair enough, I switched it to be a bit more robust to all possible cases.

[Dekermanjian]

I think while this became a little bit wordy, it will help the user navigate input errors. I do wonder, though, since other state space models and if I'm not mistaken the structural api use a similar input schema if it would be a good idea to wrap that up in like a _validate_endog_exog_inputs() utility?

[jessegrabowski]

I do wonder, though, since other state space models and if I'm not mistaken the structural api use a similar input schema if it would be a good idea to wrap that up in like a _validate_endog_exog_inputs() utility?

Yes I agree the validation functionality should be moved out to a helper. Can you open an issue? :)

[Dekermanjian]

I do wonder, though, since other state space models and if I'm not mistaken the structural api use a similar input schema if it would be a good idea to wrap that up in like a _validate_endog_exog_inputs() utility?

Yes I agree the validation functionality should be moved out to a helper. Can you open an issue? :)

Yes, I'd be happy to!