GridSearchCV on LogisticRegression in scikit-learn

The class name scikits.learn.linear_model.logistic.LogisticRegression refers to a very old version of scikit-learn. The top level package name is now sklearn since at least 2 or 3 releases. It's very likely that you have old versions of scikit-learn installed concurrently in your python path. Uninstall them all, then reinstall 0.14 or later and try again.

You can also give penalty as a parameter along with C. E.g. :

grid_values = {'penalty': ['l1','l2'], 'C': [0.001,0.01,0.1,1,10,100,1000]}. and then, model_lr = GridSearchCV(lr, param_grid=grid_values)