Merge pull request #392 from bashtage/allow-1-d-exog

ENH: Allow 1d exog
bashtage · May 10, 2020 · 217eb05 · 217eb05
2 parents 55e0d00 + 54f0f09
commit 217eb05
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diff --git a/arch/tests/univariate/test_mean.py b/arch/tests/univariate/test_mean.py
@@ -1141,3 +1141,13 @@ def test_no_variance():
     mod = arch_model(np.ones(100))
     with pytest.warns(ConvergenceWarning):
         mod.fit(disp=DISPLAY)
+
+
+def test_1d_exog():
+    y = np.random.standard_normal((300))
+    x = np.random.standard_normal((300))
+    am = arch_model(y, x, mean="ARX", lags=2, vol="ARCH", q=0)
+    res = am.fit()
+    am = arch_model(y, x[:, None], mean="ARX", lags=2, vol="ARCH", q=0)
+    res2 = am.fit()
+    assert_series_equal(res.params, res2.params)
diff --git a/arch/univariate/mean.py b/arch/univariate/mean.py
@@ -444,6 +444,8 @@ def _generate_lag_names(self) -> List[str]:
     def _check_specification(self) -> None:
         """Checks the specification for obvious errors """
         if self._x is not None:
+            if self._x.ndim == 1:
+                self._x = self._x[:, None]
             if self._x.ndim != 2 or self._x.shape[0] != self._y.shape[0]:
                 raise ValueError(
                     "x must be nobs by n, where nobs is the same as "