In a stand mixer, using a dough hook, mix all the dry ingredients together until well combined.
Add in one egg at a time and mix at low speed.
Pour in the milk/ water and mix for 6-8 minutes on medium speed until a stretchy dough is formed.
Add in the butter and knead for another 5 minutes.
Transfer the dough into a lightly greased bowl and leave to rise for 2 hours (or until doubled in size)
Divide the dough and use your hands to shape into little rolls (should make 20 doughnut rolls)
Place the individual rolls on a baking sheet ( spaced evenly).
Leave to rise for another hour.
Once doubled in size, deep fry each roll in oil heated to 175°C. Use a thermometer to check the oil temperature. Then fry the doughnut for about 2-3 minutes on each side until it turns a light golden colour.
Leave to cool slightly, coat in sugar and set aside.
To make the pumpkin filling
In a stand mixer, whisk together the cream cheese and powdered sugar until all the sugar is mixed in thoroughly.
Add in the mixed spice and pumpkin puree. Mix on medium speed for another 2-3 minutes.
Tranfer the pumpkin filling into a piping bag fitted with a round tip. Using a small knife, make a hole in the crease of each doughut
Pipe the filling into each doughnut. Don't worry, you'll know when to stop.
Notes
The yeast can be added in directly with the other ingredients because I am using fastaction yeast (Instant Yeast) in this recipe. If you’re using active dry yeast, you must proof the yeast first by dissolving in warm water/milk before mixing in.