[ENH] Address deprecated references in datatypes module

[gchhablani]

Reference Issues/PRs

Fixes #2049.

What does this implement/fix? Explain your changes.

In this fix, I:

• Removed all references of pd.Int64Index across all files.
• Updated the tests so verify against pd.Index and dtype=='int64'.
• Fixed all instantiations from pd.Int64Index(...) to pd.Index(..., dtype='int64').

Does your contribution introduce a new dependency? If yes, which one?

NA

What should a reviewer concentrate their feedback on?

• Whether the fix looks okay.
• If there are any missing entries that should be changed.
• If there are other places where the change affects the code-base.

Any other comments?

• There were two places where docstrings were missing because of which pre-commit was failing. I have added the docstrings as well. If it needs to be added in a separate PR, please let me know.

PR checklist

For all contributions

• I've added myself to the list of contributors.
• Optionally, I've updated sktime's CODEOWNERS to receive notifications about future changes to these files.
• I've added unit tests and made sure they pass locally

[fkiraly]

@gchhablani, I took the liberty of fixing a linting error to get the tests to run, hope that's ok

[gchhablani]

@fkiraly Thank a lot! I missed that 😥

[khrapovs]

This PR looks quite promising actually. It covers much more that what I did here: #2339. It should definitely be revitalized.

[gchhablani]

@khrapovs @fkiraly I can get back onto it if that is still a possibility?
Wdyt?

[khrapovs]

@gchhablani What do you mean "a possibility"? The issue is still open. Warnings are all over the place. Your PR seem to be resolving a lot of them. So why did you stop?

[Ennosigaeon]

I would also appreciate getting this PR merged. The warnings are quite "verbose"...

[khrapovs]

I have partially addressed those warnings in #2339, but this PR seem to be more comprehensive.

[gchhablani]

@khrapovs I was distracted by other things, but I can continue working on this one and get it merged asap. Just wanted to check with you if that is okay.

[Ennosigaeon]

You also have to rename the variable in line 151

[khrapovs]

This PR can be closed. The issue #2332 is resolved. Sorry, @gchhablani, these warnings were too annoying.

[fkiraly]

yes, I think they are, and this is now heavily conflicting.

Thanks a lot for your work, @gchhablani.
Feel free to add yourself as a code contributor since @khrapovs' work was partially based on yours.