Relocate exceptions #14800

[m-charlton]

• closes DEPR: relocate exceptions in pandas.core.common #14800
• tests added / passed
• passes git diff master | flake8 --diff
• whatsnew entry

Deprecation warnings will only be issued when exceptions/warnings are raised. I did think of
putting a deprecation warning in pandas.common.core indicating that these exceptions
were deprecated but these would be seen when anything was imported from pandas.core.common. Please advise.

[jorisvandenbossche]

I think we had the same problem before (I seem to remember this from #14479), but decorating exceptions does not seem to work in practice:

In [1]: from pandas.core.common import UnsortedIndexError

In [2]: try:
   ...:     raise pd.api.exceptions.UnsortedIndexError()
   ...: except UnsortedIndexError:
   ...:     print('catched')
   ...:     
---------------------------------------------------------------------------
UnsortedIndexError                        Traceback (most recent call last)
<ipython-input-2-c3dad543bd57> in <module>()
      1 try:
----> 2     raise pd.api.exceptions.UnsortedIndexError()
      3 except UnsortedIndexError:

UnsortedIndexError: 

During handling of the above exception, another exception occurred:

TypeError                                 Traceback (most recent call last)
<ipython-input-2-c3dad543bd57> in <module>()
      1 try:
      2     raise pd.api.exceptions.UnsortedIndexError()
----> 3 except UnsortedIndexError:
      4     print('gevangen')
      5 

TypeError: catching classes that do not inherit from BaseException is not allowed

[m-charlton]

O.K. Will wait further instructions.

[jreback]

so I think what you have to do here, is add an option to _DeprecatedModule to allow it to function as an entire proxy module, but not to show the deprecation warning, except on the removals.

IOW, we want to proxy pandas.core.common, and if its a _removals, then show the deprecation message.

So if you add an option (default it to True), to show the DeprecationWarning for the module itself (but when you call it here, you will pass False). add the _removals for the exceptions, this could work.

the _add_proxy is wrapping a function around the exception which doesn't work (and I don't think we are actually using this anywhere)

[jreback]

closing in favor of #15541