The test failures are with numpy 1.3., this has been changed in trunk
 http://projects.scipy.org/numpy/changeset/7262/trunk/numpy/testing

 allow inf-inf and nan-nan comparisons to be True in testing

below are the results of the test run, (the same failures are in trunk)

>add_statsmodels-skipper_path.py
C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\__init__.pyc
Running unit tests for numpy
NumPy version 1.3.0
NumPy is installed in C:\Programs\Python25\lib\site-packages\numpy
Python version 2.5.2 (r252:60911, Feb 21 2008, 13:11:45) [MSC v.1310 32 bit (Int
el)]
nose version 0.11.1
....Warning message:
package 'MASS' was built under R version 2.7.2
.SS....K.S....SS......S........S............S............S........SS......S....S
.......S....SS......S........S.......KSS......S...KSS......S....SS......S.......
.S.............F.F.........
Attaching package: 'car'


        The following object(s) are masked from package:Hmisc :

         recode

Warning message:
package 'car' was built under R version 2.7.2
................................................................F.F.............
..F.F...............F.F..............................S..........SS.S.S..S.......
S.........................................S....S..S.........S....S..S........S..
.......S....S..S........S.......................................................
.......
======================================================================
FAIL: test_regression.TestDataDimensions.test_fvalue
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 95, in test_fvalue
    assert_almost_equal(self.res1.fvalue, self.res2.fvalue, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestDataDimensions.test_mean_squared_error
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 88, in test_mean_squared_error
    assert_almost_equal(self.res1.mse_model, self.res2.mse_model, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxNx.test_fvalue
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 95, in test_fvalue
    assert_almost_equal(self.res1.fvalue, self.res2.fvalue, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxNx.test_mean_squared_error
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 88, in test_mean_squared_error
    assert_almost_equal(self.res1.mse_model, self.res2.mse_model, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxNxOne.test_fvalue
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 95, in test_fvalue
    assert_almost_equal(self.res1.fvalue, self.res2.fvalue, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxNxOne.test_mean_squared_error
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 88, in test_mean_squared_error
    assert_almost_equal(self.res1.mse_model, self.res2.mse_model, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxOneNx.test_fvalue
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 95, in test_fvalue
    assert_almost_equal(self.res1.fvalue, self.res2.fvalue, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

======================================================================
FAIL: test_regression.TestNxOneNx.test_mean_squared_error
----------------------------------------------------------------------
Traceback (most recent call last):
  File "c:\programs\python25\lib\site-packages\nose-0.11.1-py2.5.egg\nose\case.p
y", line 183, in runTest
    self.test(*self.arg)
  File "C:\Josef\eclipsegworkspace\statsmodels-skipper\scikits\statsmodels\tests
\test_regression.py", line 88, in test_mean_squared_error
    assert_almost_equal(self.res1.mse_model, self.res2.mse_model, DECIMAL)
  File "C:\Programs\Python25\Lib\site-packages\numpy\testing\utils.py", line 265
, in assert_almost_equal
    raise AssertionError(msg)
AssertionError:
Items are not equal:
 ACTUAL: -inf
 DESIRED: -inf

----------------------------------------------------------------------
Ran 518 tests in 123.437s

FAILED (KNOWNFAIL=3, SKIP=46, failures=8)