I am trying to use train_test_split function and write:
train_test_split
from sklearn.model_selection import train_test_split
and this causes
As @linusg said, one option is just import crossvalidation as follows:
from sklearn import cross_validation X_train,X_test,y_train,y_test = cross_validation.train_test_split(X,y,test_size=0.3)