I got a problem with typescript and RxJs v5.
Please Look the UPDATE sections.
I did yarn add @reactivex/rxjs (also yarn add rxjs) and on my index.ts did import Rx from '@reactivex/rxjs'; and got this error: 
Also, if I run node ./node_modules/.bin/tsc I got this error back too error TS2307: Cannot find module '@reactivex/rxjs'.
UPDATE
Also doing
import { Observable } from 'rxjs/Observable'
UPDATE 2
Well this seems to be more related to TS itself than to RxJS.
"compilerOptions": {
"module": "commonjs",
"allowJs": true,
"outDir": "dist",
"target": "es2015",
"noImplicitAny": true,
"noEmit": true,
"strictNullChecks": true,
"suppressExcessPropertyErrors": false,
"suppressImplicitAnyIndexErrors": false,
"allowUnreachableCode": false,
"allowUnusedLabels": false,
"noImplicitReturns": true,
"noFallthroughCasesInSwitch": true,
"lib": [
"es2015",
"dom"
]
}
Having this ^ configuration seems to fix the VSCode issues, but running tsc against src/index.ts doesn't work
node_modules/rxjs/Observable.d.ts(69,60): error TS2693: 'Promise' only refers to a type, but is being used as a value here.

package.jsonis a little unusual, with"main": "index.js"and"typings": "./dist/cjs/Rx.d.ts". It's possible the tools are not using thetypingsentry. Anyway, if you are using anything else with an RxJS dependency, you should installnpm install rxjs, as that's what the other dependencies are likely to be using.@reactivex/rxjsdoes not have a.d.tsfile that that parallels the file referred to asmainin thepackage.json; the.d.tsis more deeply nested. I'm guessing that could confuse some tools. And if you have other dependencies (e.g. Angular) that userxjs, TypeScript will likely be unhappy, as the types in@reactivex/rxjswill be seen as different types. I would recommend going with Martin's answer.