type(df.index)

type(df.index)

class 'pandas.tseries.period.PeriodIndex'

VAR(mdata)

Given a pandas object and the index does not contain dates

df.index = pandas.DatetimeIndex(df.index)

cannot convert Int64Index->DatetimeIndex

In [25]: pidx = pd.period_range('2012-01-01', periods=10)

In [26]: pidx
Out[26]:
<class 'pandas.tseries.period.PeriodIndex'>
[2012-01-01, ..., 2012-01-10]
Length: 10, Freq: D

In [27]: pidx.to_timestamp()
Out[27]:
<class 'pandas.tseries.index.DatetimeIndex'>
[2012-01-01, ..., 2012-01-10]
Length: 10, Freq: D, Timezone: None

idx.astype('datetime64[ns]')

idx.to_period(freq='D')