Merge pull request #704 from bashtage/numpy-2

MAINT: Add NumPy 2 compat

arch/compat/pandas.py

@@ -1,5 +1,8 @@
 from typing import TYPE_CHECKING
 
+from packaging.version import parse
+import pandas as pd
+
 if TYPE_CHECKING:
     from pandas.api.types import is_datetime64_any_dtype
 else:
@@ -8,4 +11,7 @@
     except ImportError:
         from pandas.core.common import is_datetime64_any_dtype
 
-__all__ = ["is_datetime64_any_dtype"]
+PD_LT_22 = parse(pd.__version__) < parse("2.1.99")
+MONTH_END = "M" if PD_LT_22 else "ME"
+
+__all__ = ["is_datetime64_any_dtype", "MONTH_END"]

arch/tests/unitroot/cointegration_data.py

@@ -1,3 +1,5 @@
+from arch.compat.pandas import MONTH_END
+
 import numpy as np
 import pandas as pd
 import pytest
@@ -60,7 +62,7 @@ def trivariate_data(request) -> tuple[ArrayLike2D, ArrayLike2D]:
             idx += 1
     y = y @ rot
     if request.param:
-        dt_index = pd.date_range("1-1-2000", periods=nobs, freq="M")
+        dt_index = pd.date_range("1-1-2000", periods=nobs, freq=MONTH_END)
         cols = [f"y{i}" for i in range(1, 4)]
         data = pd.DataFrame(y, columns=cols, index=dt_index)
         return data.iloc[:, :1], data.iloc[:, 1:]

arch/tests/univariate/test_mean.py

@@ -1,3 +1,5 @@
+from arch.compat.pandas import MONTH_END
+
 from io import StringIO
 from itertools import product
 from string import ascii_lowercase
@@ -820,7 +822,7 @@ def test_date_first_last_obs(self):
         assert_equal(res.resid.values, res2.resid.values)
 
     def test_align(self):
-        dates = pd.date_range("2000-01-01", "2010-01-01", freq="M")
+        dates = pd.date_range("2000-01-01", "2010-01-01", freq=MONTH_END)
         columns = ["h." + f"{h + 1:>02}" for h in range(10)]
         forecasts = pd.DataFrame(self.rng.randn(120, 10), index=dates, columns=columns)
 

azure-pipelines.yml

@@ -10,7 +10,6 @@ variables:
   VML_NUM_THREADS: 1
   OPENBLAS_NUM_THREADS: 1
   PYTHONHASHSEED: 12345678 # Ensure tests are correctly gathered by xdist
-  # SETUPTOOLS_USE_DISTUTILS: "stdlib"
   TEST_INSTALL: false
   MPLBACKEND: agg
   PYTEST_PATTERN: "(not slow)"

setup.py

@@ -46,10 +46,8 @@
 # prevent setup.py from crashing by calling import numpy before numpy is installed
 class build_ext(_build_ext):
     def build_extensions(self) -> None:
-        ref = importlib.resources.files("numpy") / "core/include"
-        with importlib.resources.as_file(ref) as path:
-            numpy_incl = str(path)
-
+        import numpy as np
+        numpy_incl = np.get_include()
         for ext in self.extensions:
             if hasattr(ext, "include_dirs") and numpy_incl not in ext.include_dirs:
                 ext.include_dirs.append(numpy_incl)