If i do:
from pandas import Series, PeriodIndex, Period
pi = PeriodIndex(start=Period('1950-1'), freq='M', end=Period('1950-7'))
a = Series([1,nan,nan,4,5,nan,7], pi)
b = Series([9,9,9,9,9,9,9], pi)
display(a, b, a.combine_first(b))
Then the output is:
1950-01 1
1950-02 NaN
1950-03 NaN
1950-04 4
1950-05 5
1950-06 NaN
1950-07 7
Freq: M
1950-01 9
1950-02 9
1950-03 9
1950-04 9
1950-05 9
1950-06 9
1950-07 9
Freq: M
1930-01 NaN
1930-03 NaN
1930-05 NaN
1930-07 NaN
1930-09 NaN
1930-11 NaN
1931-01 NaN
Freq: M
As you can see the index is changed and the values are all gone.
I think this is a bug. My Pandas version is 0.10.1.
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