(The guess in my comment was wrong)
Your version of statsmodels is too old. The documentation and example is correct for the released version of statsmodels 0.5.
The data
keyword has been renamed from df
since 0.5.0.dev-1bbd4ca.
So either you upgrade, which I highly recommend, or you use the old keyword name
mod = sm.ols(formula='Lottery ~ Literacy + Wealth + Region', df=df)
should work with the version that you have.