BUG: Fix doesn't work with new models

Fix regression in fix that was introduced when first_ and last_obs
were added
Add first_obs and last_obs options to fix
Add test for these cases

closes #156

arch/univariate/base.py

@@ -297,7 +297,7 @@ def _parse_parameters(self, x):
         km, kv = self.num_params, self.volatility.num_params
         return x[:km], x[km:km + kv], x[km + kv:]
 
-    def fix(self, params):
+    def fix(self, params, first_obs=None, last_obs=None):
         """
         Allows an ARCHModelFixedResult to be constructed from fixed parameters.
 
@@ -307,6 +307,10 @@ def fix(self, params):
             User specified parameters to use when generating the result. Must
             have the correct number of parameters for a given choice of mean
             model, volatility model and distribution.
+        first_obs : {int, str, datetime, Timestamp}
+            First observation to use when fixing model
+        last_obs : {int, str, datetime, Timestamp}
+            Last observation to use when fixing model
 
         Returns
         -------
@@ -319,6 +323,7 @@ def fix(self, params):
         """
         v = self.volatility
 
+        self._adjust_sample(first_obs, last_obs)
         resids = self.resids(self.starting_values())
         sigma2 = np.zeros_like(resids)
         backcast = v.backcast(resids)

arch/univariate/tests/test_mean.py

@@ -706,6 +706,30 @@ def test_fixed_user_parameters(self):
         # Smoke for summary
         fixed_res.summary()
 
+    def test_fixed_user_parameters_new_model(self):
+        am = arch_model(self.y_series)
+        res = am.fit(disp=DISPLAY)
+        new_am = arch_model(self.y_series)
+        fixed_res = new_am .fix(res.params)
+        assert_series_equal(res.conditional_volatility,
+                            fixed_res.conditional_volatility)
+        assert_series_equal(res.params, fixed_res.params)
+        assert_equal(res.aic, fixed_res.aic)
+        assert_equal(res.bic, fixed_res.bic)
+        assert_equal(res.loglikelihood, fixed_res.loglikelihood)
+        assert_equal(res.num_params, fixed_res.num_params)
+
+        # Test first and last dates
+        am = arch_model(self.y_series)
+        res = am.fit(disp=DISPLAY, first_obs=100, last_obs=900)
+        new_am = arch_model(self.y_series)
+        fixed_res = new_am .fix(res.params, first_obs=100, last_obs=900)
+        assert_series_equal(res.params, fixed_res.params)
+        assert_equal(res.aic, fixed_res.aic)
+        assert_equal(res.bic, fixed_res.bic)
+        assert_equal(res.loglikelihood, fixed_res.loglikelihood)
+        assert_equal(res.num_params, fixed_res.num_params)
+
     def test_output_options(self):
         import sys
         from arch.compat.python import StringIO

doc/source/changes/4.0.txt

@@ -4,3 +4,5 @@ Changes since 4.0
   a mean model.  This has been added to allow so-called zig-zag estimation where a mean model is
   estimated with a fixed variance, and then a variance model is estimated on the residuals using
   a ``ZeroMean`` variance process.
+- Fixed a bug that prevented ```fix`` from being used with a new model (:issue:`156`)
+- Added ``first_obs`` and ``last_obs`` parameters to ``fix`` to mimic ``fit``

doc/source/conf.py

@@ -38,6 +38,7 @@
     'sphinx.ext.todo',
     'sphinx.ext.coverage',
     'sphinx.ext.ifconfig',
+    'numpydoc',
     'IPython.sphinxext.ipython_console_highlighting',
     'IPython.sphinxext.ipython_directive'
 ]
@@ -295,3 +296,5 @@
     'numpy': ('http://docs.scipy.org/doc/numpy', None),
     'pandas': ('http://pandas.pydata.org/pandas-docs/stable/', None)
 }
+
+extlinks = {'issue': ('https://github.com/bashtage/arch/%s', 'GH')}