replace KeyError with LookupError in the types of possible read_hdf errors

[graingert]

• closes BUG: pd.read_hdf leaves files open if it raises an IndexError exception #52781 (Replace xxxx with the GitHub issue number)
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

[graingert]

probably this should just be

Suggested change

	except (ValueError, TypeError, KeyError, IndexError):
	except BaseException:

as when using with HDFStore(...): it will still close on all exceptions

[mroeschke]

Yeah that makes sense (I'm not sure if we have a linting rule that may complain about BaseException but worth a try

[mroeschke]

Thanks could you add a test and whatsnew entry for this (v2.1.0.rst)

[graingert]

yep I'm just working on a test now

[graingert]

@mroeschke what do you think about using BaseException instead?

[mroeschke]

Suggested change

	# smoke test to test that file is properly closed after
	# read with IndexError before another write
	df.to_hdf(path, "k1")
	# smoke test to test that file is properly closed after
	# read with IndexError before another write
	with tm.assert_produces_warning(None):
	df.to_hdf(path, "k1")

[graingert]

why would this produce a warning? If the file is already open an exception is raised regardless of warning filter

[graingert]

this change would need to be in test_read_missing_key_opened_store also

[mroeschke]

This is just to help assert something additional with this call (that no warning is raised)

[graingert]

I don't think it's correct to do that here

[mroeschke]

Thanks @graingert