add dropped columns to warning message

pandas/core/window/rolling.py

@@ -440,10 +440,12 @@ def hfunc2d(values: ArrayLike) -> ArrayLike:
 
  if 0 != len(new_mgr.items) != len(mgr.items):
  # GH#42738 ignore_failures dropped nuisance columns
+ dropped = mgr.items.difference(new_mgr.items)
  warnings.warn(
  "Dropping of nuisance columns in rolling operations "
  "is deprecated; in a future version this will raise TypeError. "
- "Select only valid columns before calling the operation.",
+ "Select only valid columns before calling the operation. "
+ f"Dropped columns were {dropped}",
  FutureWarning,
  stacklevel=find_stack_level(),
  )

pandas/tests/window/test_api.py

@@ -68,7 +68,8 @@ def tests_skip_nuisance():
 def test_skip_sum_object_raises():
  df = DataFrame({"A": range(5), "B": range(5, 10), "C": "foo"})
  r = df.rolling(window=3)
- with tm.assert_produces_warning(FutureWarning, match="nuisance columns"):
+ msg = r"nuisance columns.*Dropped columns were Index\(\['C'\], dtype='object'\)"
+ with tm.assert_produces_warning(FutureWarning, match=msg):
  # GH#42738
  result = r.sum()
  expected = DataFrame(