title: Out of sample forecasting issue with SARIMAX
body: <p>I can make predictions on my sample data but when I try to make out of sample predictions I get an error message saying:</p>
  
  <pre><code>C:\Users\YannickLECROART\Miniconda3\envs\machinelearning\lib\site-packages\statsmodels\tsa\base\tsa_model.py:531: ValueWarning: No supported index is available. Prediction results will be given with an integer index beginning at `start`.
    ValueWarning)
  &lt;statsmodels.tsa.statespace.mlemodel.PredictionResultsWrapper object at 0x000001F303476A58&gt;
  </code></pre>
  
  <p>You can find the dataset I use by clicking on the link below.</p>
  
  <p><a href="https://ufile.io/an2cx" rel="nofollow noreferrer">https://ufile.io/an2cx</a></p>
  
  <pre><code>import warnings
  import itertools
  import numpy as np
  import matplotlib.pyplot as plt
  warnings.filterwarnings("ignore")
  plt.style.use('fivethirtyeight')
  import pandas as pd
  import statsmodels.api as sm
  import matplotlib
  
  matplotlib.rcParams['axes.labelsize'] = 14
  matplotlib.rcParams['xtick.labelsize'] = 12
  matplotlib.rcParams['ytick.labelsize'] = 12
  matplotlib.rcParams['text.color'] = 'k'
  </code></pre>
  
  <p>First of all, I extract the dataset from the Excel file.</p>
  
  <pre><code>df = pd.read_excel("C:\\Users\\YannickLECROART\\Desktop\\comedie.xlsx", index_col=0)
  </code></pre>
  
  <p>Then, I convert the dataframe into a time series.</p>
  
  <pre><code>df.index = pd.to_datetime(df.index)
  </code></pre>
  
  <p>I sort the data so that I only get values between 9 and 10 in the morning.</p>
  
  <pre><code>idx_9 = df.between_time('09:00', '09:59')
  </code></pre>
  
  <p>I configure the SARIMAX parameters</p>
  
  <pre><code>mod = sm.tsa.statespace.SARIMAX(idx_0,
                                  order=(1, 1, 1),
                                  seasonal_order=(1, 1, 0, 12),
                                  enforce_stationarity=False,
                                  enforce_invertibility=False)
  
  results = mod.fit()
  </code></pre>
  
  <p>Then I make predictions on my sample data to compare it with the observed values</p>
  
  <pre><code>pred = results.get_prediction(start=1, dynamic=False)
  pred_ci = pred.conf_int()
  
  ax = idx_9['2017':].plot(label='Observations')
  pred.predicted_mean.plot(ax=ax, label='Prédictions', alpha=.7, figsize=(14, 7))
  
  ax.fill_between(pred_ci.index,
                  pred_ci.iloc[:, 0],
                  pred_ci.iloc[:, 1], color='k', alpha=.2)
  
  ax.set_xlabel('Date')
  ax.set_ylabel('Places occupées')
  plt.legend()
  
  plt.show()
  </code></pre>
  
  <p>This is how the plot looks like</p>
  
  <p><a href="https://i.stack.imgur.com/V3Fz9.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/V3Fz9.png" alt="enter image description here"></a></p>
  
  <p>Finally I want to make out of sample predictions in order to plot it after the observations and this is where I get the error message:</p>
  
  <pre><code>pred_uc = results.get_forecast(steps=100)
  pred_ci = pred_uc.conf_int()
  
  ax = idx_0.plot(label='Observations', figsize=(14, 7))
  pred_uc.predicted_mean.plot(ax=ax, label='Prédictions')
  ax.fill_between(pred_ci.index,
                  pred_ci.iloc[:, 0],
                  pred_ci.iloc[:, 1], color='k', alpha=.25)
  ax.set_xlabel('Date')
  ax.set_ylabel('Places occupées')
  plt.legend()
  plt.show()
  </code></pre>
  
  <p>Could you tell me why am I getting this error message and how I can fix it? Thanks in advance. </p>