In [1]: pd.__version__
Out[1]: '0.19.2'
In [3]: df = pd.DataFrame({'A': [1, 2, 3]}, index=pd.date_range('20130101', periods=3, tz='UTC'))
In [4]: df.to_pickle('v0.19.2.pkl')
works fine for tz-aware but non-UTC (e.g. US/Eastern is fine).
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