"ValueWarning: No supported index is available. Prediction results will be given with an integer index beginning at `start`. return get_prediction_index("

[pmgh2345]

Describe the bug

I updated from 2.0.2 to 2.0.3, and now I am unable to call the predict() method on my SARIMAX model without getting the following warning: C:\Users\Owner\anaconda3\envs\x0\lib\site-packages\statsmodels\tsa\base\tsa_model.py:834: ValueWarning: No supported index is available. Prediction results will be given with an integer index beginning atstart. return get_prediction_index(

I found this bug report from statsmodels discussing this issue: https://github.com/statsmodels/statsmodels/issues/8487

The developer there says the following:

"This is because you could have any kind of integer index; while the one you gave [3, 4, 5, 6, 7, 8] works with the logic you proposed, we could also have been given e.g. [2, -5, 18, 100, 22, 17], in which case it is not obvious what the "next" integer should be.

We do fully support / recommend RangeIndex since then it is always clear what the "next" value should be."

With this in mind, I changed the index of the DataFrame passed to predict() to a RangeIndex starting at 0 to conform to their standard, yet I am still thrown the same warning.

To Reproduce

1. Train a SARIMAX model.
2. Generate a pandas DataFrame comprised of 81 rows and 1 column comprised of floats called "sample_df"
3. Call the predict method as shown below. mod.predict(sample_df.shape[0], sample_df)

Versions

System:
    python: 3.10.11 | packaged by Anaconda, Inc. | (main, Apr 20 2023, 18:56:50) [MSC v.1916 64 bit (AMD64)]
executable: C:\Users\Owner\anaconda3\envs\x0\python.exe
   machine: Windows-10-10.0.18363-SP0

Python dependencies:
        pip: 23.0.1
 setuptools: 66.0.0
    sklearn: 1.2.2
statsmodels: 0.13.5
      numpy: 1.24.3
      scipy: 1.10.0
     Cython: 0.29.32
     pandas: 1.5.3
     joblib: 1.1.1
   pmdarima: 2.0.3
C:\Users\Owner\anaconda3\envs\x0\lib\site-packages\_distutils_hack\__init__.py:33: UserWarning: Setuptools is replacing distutils.
  warnings.warn("Setuptools is replacing distutils.")

Expected Behavior

I expected the the predict() method to run without a problem as it had always done, returning me the model's predicted values.

Actual Behavior

The predict() method throws the aforementioned warning every time it calculates. In the context of a simulation with thousands of runs, it slows everything down prohibitively.

Additional Context

The abrupt nature in which the warning ends " return get_prediction_index(" seems like it may be instructive.