ENH: Add support for NumPy 3

Add build support for NumPy 2

arch/tests/bootstrap/test_bootstrap.py

@@ -538,7 +538,7 @@ def test_jackknife(bs_setup):
 
     x = bs_setup.x_df
     results_df = _loo_jackknife(bs_setup.func, len(x), (x,), {})
-    assert_equal(results, results_df)
+    assert_allclose(results, results_df)
 
     y = bs_setup.y
     results = _loo_jackknife(bs_setup.func, len(y), (y,), {})

arch/tests/univariate/test_arch_in_mean.py

@@ -17,7 +17,7 @@
 
 SP500 = 100 * sp500.load()["Adj Close"].pct_change().dropna()
 SP500 = SP500.iloc[SP500.shape[0] // 2 :]
-X = pd.concat([SP500, SP500], axis=1, copy=True)
+X = pd.concat([SP500, SP500], axis=1)
 X.columns = pd.Index([0, 1])
 RANDOMSTATE = np.random.RandomState(12349876)
 X.loc[:, :] = RANDOMSTATE.standard_normal(X.shape)

arch/typing.py

@@ -45,9 +45,9 @@
     AnyArray = np.ndarray[Any, Any]  # pragma: no cover
     Uint32Array = np.ndarray[Any, np.dtype[np.uint32]]  # pragma: no cover
 else:
-    Uint32Array = (
-        IntArray
-    ) = Float64Array = Int64Array = Int32Array = BoolArray = AnyArray = NDArray
+    Uint32Array = IntArray = Float64Array = Int64Array = Int32Array = BoolArray = (
+        AnyArray
+    ) = NDArray
 
 BootstrapIndexT = Union[
     Int64Array, tuple[Int64Array, ...], tuple[list[Int64Array], dict[str, Int64Array]]

arch/unitroot/critical_values/simulation/phillips-ouliaris-simulation-process.py

@@ -20,7 +20,7 @@
 META = {"z_a": "negative", "z_t": "negative", "p_u": "positive", "p_z": "positive"}
 CRITICAL_VALUES = (1, 5, 10)
 PLOT = False
-WINS: dict[int, int] = defaultdict(lambda: 0)
+WINS: dict[int, int] = defaultdict(int)
 # 1. Load data
 # 2. Compute critical values
 

arch/unitroot/unitroot.py

@@ -1144,9 +1144,7 @@ def _compute_statistic(self) -> None:
         self._stat_tau = sqrt(gamma0 / lam2) * ((rho - 1) / sigma) - 0.5 * (
             (lam2 - gamma0) / lam
         ) * (n * sigma / s)
-        self._stat_rho = n * (rho - 1) - 0.5 * (n**2.0 * sigma2 / s2) * (
-            lam2 - gamma0
-        )
+        self._stat_rho = n * (rho - 1) - 0.5 * (n**2.0 * sigma2 / s2) * (lam2 - gamma0)
 
         self._nobs = int(resols.nobs)
         if self._test_type == "rho":

arch/utility/array.py

@@ -38,17 +38,15 @@ def ensure1d(
     x: int | float | Sequence[int | float] | ArrayLike,
     name: Hashable | None,
     series: Literal[True] = ...,
-) -> Series:
-    ...  # pragma: no cover
+) -> Series: ...  # pragma: no cover
 
 
 @overload
 def ensure1d(
     x: int | float | Sequence[int | float] | ArrayLike,
     name: Hashable | None,
     series: Literal[False],
-) -> np.ndarray:
-    ...  # pragma: no cover
+) -> np.ndarray: ...  # pragma: no cover
 
 
 def ensure1d(

arch/utility/timeseries.py

@@ -48,8 +48,7 @@ def add_trend(
     prepend: bool = ...,
     nobs: int = ...,
     has_constant: Literal["raise", "add", "skip"] = ...,
-) -> Float64Array:
-    ...  # pragma: no cover
+) -> Float64Array: ...  # pragma: no cover
 
 
 @overload
@@ -59,8 +58,7 @@ def add_trend(
     prepend: bool = ...,
     nobs: None = ...,
     has_constant: Literal["raise", "add", "skip"] = ...,
-) -> Float64Array:
-    ...  # pragma: no cover
+) -> Float64Array: ...  # pragma: no cover
 
 
 @overload
@@ -70,8 +68,7 @@ def add_trend(
     prepend: bool = ...,
     nobs: None = ...,
     has_constant: Literal["raise", "add", "skip"] = ...,
-) -> pd.DataFrame:
-    ...  # pragma: no cover
+) -> pd.DataFrame: ...  # pragma: no cover
 
 
 def add_trend(

ci/azure/azure_template_posix.yml

@@ -45,14 +45,14 @@ jobs:
       python39_numpy120:
         python.version: '3.9'
         MATPLOTLIB: 3.3.0
-        NUMPY: 1.20.0
-        SCIPY: 1.7.0
-        PANDAS: 1.2.0
+        NUMPY: 1.22.3
+        SCIPY: 1.8.0
+        PANDAS: 1.4.0
       python_310_no_binary:
         python.version: '3.10'
         ARCH_NO_BINARY: true
         PYTEST_OPTS: '--skip-slow'
-        PANDAS: 1.4.0
+        PANDAS: 1.5.0
         USE_NUMBA: true
       python_39_no_binary_environment:
         python.version: '3.9'
@@ -62,22 +62,22 @@ jobs:
         PYTEST_OPTS: '--skip-slow'
       python_39_no_numba:
         python.version: '3.9'
-        NUMPY: 1.21.0
+        NUMPY: 1.24.0
         USE_NUMBA: false
-        MATPLOTLIB: 3.3.0
+        MATPLOTLIB: 3.5.0
         PANDAS: 1.5.0
         PYTEST_PATTERN: "(slow or not slow)"
       python_39_numpy_118:
         python.version: '3.9'
-        NUMPY: 1.22.0
+        NUMPY: 1.24.0
         USE_NUMBA: false
         PYTEST_PATTERN: "(slow or not slow)"
       python_minimums:
         python.version: '3.9'
-        NUMPY: 1.19.0
-        SCIPY: 1.5.0
-        MATPLOTLIB: 3.3.0
-        PANDAS: 1.1.0
+        NUMPY: 1.23.0
+        SCIPY: 1.9.0
+        MATPLOTLIB: 3.4.0
+        PANDAS: 1.4.0
       python312_pre:
         python.version: '3.12'
         pip.pre: true
@@ -176,9 +176,8 @@ jobs:
       testRunTitle: 'Python $(python.version)'
     condition: succeededOrFailed()
 
-  - task: PublishCodeCoverageResults@1
+  - task: PublishCodeCoverageResults@2
     inputs:
-      codeCoverageTool: Cobertura
       summaryFileLocation: '$(System.DefaultWorkingDirectory)/**/coverage.xml'
     condition: and(eq(variables['coverage'], 'true'), ne(variables['test.install'], 'true'))
 

ci/azure/install-posix.sh

@@ -16,7 +16,7 @@ else
 fi
 
 python -m pip install --upgrade pip "setuptools>=61" wheel
-python -m pip install cython "pytest>=7" pytest-xdist coverage pytest-cov ipython jupyter notebook nbconvert "property_cached>=1.6.3" black isort flake8 nbconvert setuptools_scm colorama
+python -m pip install cython "pytest>=7,<8" pytest-xdist coverage pytest-cov ipython jupyter notebook nbconvert "property_cached>=1.6.3" black isort flake8 nbconvert setuptools_scm colorama
 
 if [[ -n ${NUMPY} ]]; then CMD="$CMD~=${NUMPY}"; fi;
 CMD="$CMD scipy"

pyproject.toml

@@ -55,17 +55,16 @@ requires = [
   "setuptools>=61",
   "wheel",
   "setuptools_scm[toml]>=8.0.3,<9",
-  "oldest-supported-numpy>=2022.11.19",
-  "cython>=0.29.34", # Works with 3.0.0b2
-
+  "cython>=3.0.10",
+  "numpy>=2.0.0rc1,<3"
 ]
 build-backend = "setuptools.build_meta"
 
 [tool.setuptools.dynamic]
 dependencies = { file = ["requirements.txt"] }
 
 [tool.black]
-target-version = ['py39', 'py310', 'py311']
+target-version = ['py39', 'py310', 'py311', 'py312']
 exclude = '''
 (
     \.egg

requirements-dev.txt

@@ -1,23 +1,22 @@
 # versioning
 setuptools_scm[toml]>=8.0.3,<9
 packaging
-oldest-supported-numpy>=2022.11.19
 
 # Performance
-cython>=0.29.34  # Works with 3.0.0b2
+cython>=3.0.10
 numba>=0.49,!=0.50.*;python_version<"3.12"
 
 # Graphics
 matplotlib>=3
 seaborn
 
 # Tests
-pytest>=7.3
+pytest>=7.3,<8
 pytest-xdist
 pytest-cov
 
 # formatting
-black[jupyter]==23.12.1
+black[jupyter]~=24.4.0
 isort~=5.0
 colorama
 flake8

requirements.txt

@@ -1,4 +1,4 @@
-numpy>=1.19
-scipy>=1.5
-pandas>=1.1
+numpy>=1.22.3
+scipy>=1.8
+pandas>=1.4
 statsmodels>=0.12