In pandas 0.17.1, grouping a DatetimeIndex with monthly frequency produced labels keyed at the start of the month, and nth() produces a label keyed by the selected row. In 0.18, we unconditionally return groups labelled by the end of the month.
In [25]: pd.__version__
Out[25]: u'0.17.1'
In [26]: dates = pd.date_range('2014', periods=90)
In [27]: pd.Series(index=dates).groupby(pd.TimeGrouper(freq='M')).nth(5)
Out[27]:
2014-01-06 NaN
2014-02-06 NaN
2014-03-06 NaN
dtype: float64
In [71]: pd.__version__
Out[71]: u'0.18.1'
In [72]: dates = pd.date_range('2014', periods=90)
In [73]: pd.Series(index=dates).groupby(pd.TimeGrouper(freq='M')).nth(5)
Out[73]:
2014-01-31 NaN
2014-02-28 NaN
2014-03-31 NaN
dtype: float64
I expect the behavior from 0.17.1.
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