In Late September 2016, SciKit Learn 0.18 was released and there was a slight change to the code. With SciKit Learn 0.18 the train_test_split function is now imported from model_selection instead of cross_validation.
from sklearn.cross_validation import train_test_split
has been changed to :
from sklearn.model_selection import train_test_split
The same has also happened for GridSearchCV.