title: Multiple inputs into Statsmodels ARIMA in Python
body: <p>I am trying to fit a ARIMA model with multiple inputs. As long as the input was a single array it worked fine.</p>
  
  <p><a href="https://stackoverflow.com/questions/49235508/statsmodel-arima-multiple-input">Here</a>, I was adviced to put input arrays into a multidimensional array-like structure. So I did:</p>
  
  <pre><code>import numpy as np
  from statsmodels.tsa.arima_model import ARIMA
  
  a = [1, 2, 3]
  b = [4, 5, 6]
  
  data = np.dstack([a, b])
  for p in range(6):
      for d in range(2):
          for q in range(4):
              order = (p,d,q)         
              try:
                  model = ARIMA(data, order=(p,d,q))
                  print("this works:{}, {}, {} ".format(p,d,q))
              except:
                  pass
  </code></pre>
  
  <p>However, the output of this script was this:</p>
  
  <pre><code>   this works:0, 0, 0
  </code></pre>
  
  <p>Obviously, there is something wrong (if p,d,q are all 0 then it is not working at all). Does anyone know what I am doing wrong?</p>
  
  <p>Any advice that would point me to the right direction would be much appreciated.</p>