Comment 2 for bug 434407

res_regression = sm.OLS(res[1:],res[:1]).fit()

here exog has only a single element. It looks like we don't have a check for consistent number of observation in endog and exog.

>>> sm.OLS(res[1:,None], res[:-1,None]).fit().params
array([[-0.36676742]])
>>> sm.OLS(res[1:], res[:-1,None]).fit().params
array([-0.36676742])
>>> sm.OLS(res[1:], res[:-1]).fit().params # 1d exog fails
Traceback (most recent call last):
...
ValueError: matrices are not aligned

But it looks like 1d exog fails,