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Follow-up compatibility issues with pandas #7100

@jorisvandenbossche

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@jorisvandenbossche

In #6996 we ensured that CI passes with pandas 1.1, 1.2 and master version, but I still skipped some tests or ignored warnings, just to get CI working for now.

The open issues to resolve from that were discovered there:

Changes related to pandas 1.1:

Changes related to pandas 1.2.0:

Changes related to pandas master (future 1.3.0):

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