diff --git a/ci/code_checks.sh b/ci/code_checks.sh
index 60b4206932c94a..3d1bba9e6bbcad 100755
--- a/ci/code_checks.sh
+++ b/ci/code_checks.sh
@@ -89,7 +89,6 @@ fi
 ### DOCSTRINGS ###
 if [[ -z "$CHECK" || "$CHECK" == "docstrings" ]]; then
 
-
     MSG='Validate docstrings (GL03, GL04, GL05, GL06, GL07, GL09, GL10, SS01, SS02, SS04, SS05, PR03, PR04, PR05, PR06, PR10, EX04, RT01, RT04, RT05, SA02, SA03)' ; echo $MSG
     $BASE_DIR/scripts/validate_docstrings.py --format=actions --errors=GL03,GL04,GL05,GL06,GL07,GL09,GL10,SS02,SS04,SS05,PR03,PR04,PR05,PR10,EX04,RT01,RT04,RT05,SA02,SA03
 
diff --git a/doc/source/whatsnew/v1.3.3.rst b/doc/source/whatsnew/v1.3.3.rst
index 4bf5d7bead0a6a..b421b9bb8ca496 100644
--- a/doc/source/whatsnew/v1.3.3.rst
+++ b/doc/source/whatsnew/v1.3.3.rst
@@ -1,6 +1,6 @@
 .. _whatsnew_133:
 
-What's new in 1.3.3 (September ??, 2021)
+What's new in 1.3.3 (September 12, 2021)
 ----------------------------------------
 
 These are the changes in pandas 1.3.3. See :ref:`release` for a full changelog
@@ -15,7 +15,6 @@ including other versions of pandas.
 Fixed regressions
 ~~~~~~~~~~~~~~~~~
 - Fixed regression in :class:`DataFrame` constructor failing to broadcast for defined :class:`Index` and len one list of :class:`Timestamp` (:issue:`42810`)
-- Performance regression in :meth:`core.window.ewm.ExponentialMovingWindow.mean` (:issue:`42333`)
 - Fixed regression in :meth:`.GroupBy.agg` incorrectly raising in some cases (:issue:`42390`)
 - Fixed regression in :meth:`.GroupBy.apply` where ``nan`` values were dropped even with ``dropna=False`` (:issue:`43205`)
 - Fixed regression in :meth:`.GroupBy.quantile` which was failing with ``pandas.NA`` (:issue:`42849`)
@@ -29,8 +28,8 @@ Fixed regressions
 - Fixed regression in :meth:`DataFrame.corr` where Kendall correlation would produce incorrect results for columns with repeated values (:issue:`43401`)
 - Fixed regression in :meth:`DataFrame.groupby` where aggregation on columns with object types dropped results on those columns (:issue:`42395`, :issue:`43108`)
 - Fixed regression in :meth:`Series.fillna` raising ``TypeError`` when filling ``float`` ``Series`` with list-like fill value having a dtype which couldn't cast lostlessly (like ``float32`` filled with ``float64``) (:issue:`43424`)
-- Fixed regression in :func:`read_csv` throwing an ``AttributeError`` when the file handle is an ``tempfile.SpooledTemporaryFile`` object (:issue:`43439`)
--
+- Fixed regression in :func:`read_csv` raising ``AttributeError`` when the file handle is an ``tempfile.SpooledTemporaryFile`` object (:issue:`43439`)
+- Fixed performance regression in :meth:`core.window.ewm.ExponentialMovingWindow.mean` (:issue:`42333`)
 
 .. ---------------------------------------------------------------------------
 
@@ -39,8 +38,6 @@ Fixed regressions
 Performance improvements
 ~~~~~~~~~~~~~~~~~~~~~~~~
 - Performance improvement for :meth:`DataFrame.__setitem__` when the key or value is not a :class:`DataFrame`, or key is not list-like (:issue:`43274`)
--
--
 
 .. ---------------------------------------------------------------------------
 
@@ -48,17 +45,7 @@ Performance improvements
 
 Bug fixes
 ~~~~~~~~~
-- Bug in :meth:`.DataFrameGroupBy.agg` and :meth:`.DataFrameGroupBy.transform` with ``engine="numba"`` where ``index`` data was not being correctly passed into ``func`` (:issue:`43133`)
--
-
-.. ---------------------------------------------------------------------------
-
-.. _whatsnew_133.other:
-
-Other
-~~~~~
--
--
+- Fixed bug in :meth:`.DataFrameGroupBy.agg` and :meth:`.DataFrameGroupBy.transform` with ``engine="numba"`` where ``index`` data was not being correctly passed into ``func`` (:issue:`43133`)
 
 .. ---------------------------------------------------------------------------
 
diff --git a/doc/source/whatsnew/v1.4.0.rst b/doc/source/whatsnew/v1.4.0.rst
index 7b9997e8f0bd6a..328499a4ae98e9 100644
--- a/doc/source/whatsnew/v1.4.0.rst
+++ b/doc/source/whatsnew/v1.4.0.rst
@@ -107,6 +107,7 @@ Other enhancements
 - :meth:`DataFrame.to_stata` and :meth:`StataWriter` now accept the keyword only argument ``value_labels`` to save labels for non-categorical columns
 - Methods that relied on hashmap based algos such as :meth:`DataFrameGroupBy.value_counts`, :meth:`DataFrameGroupBy.count` and :func:`factorize` ignored imaginary component for complex numbers (:issue:`17927`)
 - Add :meth:`Series.str.removeprefix` and :meth:`Series.str.removesuffix` introduced in Python 3.9 to remove pre-/suffixes from string-type :class:`Series` (:issue:`36944`)
+- Attempting to write into a file in missing parent directory with :meth:`DataFrame.to_csv`, :meth:`DataFrame.to_html`, :meth:`DataFrame.to_excel`, :meth:`DataFrame.to_feather`, :meth:`DataFrame.to_parquet`, :meth:`DataFrame.to_stata`, :meth:`DataFrame.to_json`, :meth:`DataFrame.to_pickle`, and :meth:`DataFrame.to_xml` now explicitly mentions missing parent directory, the same is true for :class:`Series` counterparts (:issue:`24306`)
 
 
 .. ---------------------------------------------------------------------------
diff --git a/pandas/_libs/sparse_op_helper.pxi.in b/pandas/_libs/sparse_op_helper.pxi.in
index ce665ca8121317..c6e65f8b961871 100644
--- a/pandas/_libs/sparse_op_helper.pxi.in
+++ b/pandas/_libs/sparse_op_helper.pxi.in
@@ -301,9 +301,4 @@ cpdef sparse_{{opname}}_{{dtype}}({{dtype}}_t[:] x,
     else:
         raise NotImplementedError
 
-
-cpdef sparse_fill_{{opname}}_{{dtype}}({{dtype}}_t xfill,
-                                       {{dtype}}_t yfill):
-    return {{(opname, 'xfill', 'yfill', dtype) | get_op}}
-
 {{endfor}}
diff --git a/pandas/_libs/util.pxd b/pandas/_libs/util.pxd
index bd1e21b0d86655..be22fc368c28f5 100644
--- a/pandas/_libs/util.pxd
+++ b/pandas/_libs/util.pxd
@@ -1,19 +1,8 @@
 cimport numpy as cnp
-from numpy cimport ndarray
 
 from pandas._libs.tslibs.util cimport *
 
 
-cdef extern from "numpy/ndarraytypes.h":
-    void PyArray_CLEARFLAGS(ndarray arr, int flags) nogil
-
-
-cdef extern from "numpy/arrayobject.h":
-    enum:
-        NPY_ARRAY_C_CONTIGUOUS
-        NPY_ARRAY_F_CONTIGUOUS
-
-
 cdef extern from "src/headers/stdint.h":
     enum: UINT8_MAX
     enum: UINT16_MAX
@@ -42,10 +31,3 @@ ctypedef fused numeric:
 
     cnp.float32_t
     cnp.float64_t
-
-
-cdef inline void set_array_not_contiguous(ndarray ao) nogil:
-    # Numpy>=1.8-compliant equivalent to:
-    # ao->flags &= ~(NPY_ARRAY_C_CONTIGUOUS | NPY_ARRAY_F_CONTIGUOUS);
-    PyArray_CLEARFLAGS(ao,
-                       (NPY_ARRAY_C_CONTIGUOUS | NPY_ARRAY_F_CONTIGUOUS))
diff --git a/pandas/core/arrays/base.py b/pandas/core/arrays/base.py
index 40837ccad6ac8b..088c44334495cb 100644
--- a/pandas/core/arrays/base.py
+++ b/pandas/core/arrays/base.py
@@ -449,7 +449,7 @@ def __ne__(self, other: Any) -> ArrayLike:  # type: ignore[override]
 
     def to_numpy(
         self,
-        dtype: Dtype | None = None,
+        dtype: npt.DTypeLike | None = None,
         copy: bool = False,
         na_value=lib.no_default,
     ) -> np.ndarray:
@@ -478,12 +478,7 @@ def to_numpy(
         -------
         numpy.ndarray
         """
-        # error: Argument "dtype" to "asarray" has incompatible type
-        # "Union[ExtensionDtype, str, dtype[Any], Type[str], Type[float], Type[int],
-        # Type[complex], Type[bool], Type[object], None]"; expected "Union[dtype[Any],
-        # None, type, _SupportsDType, str, Union[Tuple[Any, int], Tuple[Any, Union[int,
-        # Sequence[int]]], List[Any], _DTypeDict, Tuple[Any, Any]]]"
-        result = np.asarray(self, dtype=dtype)  # type: ignore[arg-type]
+        result = np.asarray(self, dtype=dtype)
         if copy or na_value is not lib.no_default:
             result = result.copy()
         if na_value is not lib.no_default:
diff --git a/pandas/core/arrays/masked.py b/pandas/core/arrays/masked.py
index 877babe4f18e85..e40d8b74c768c9 100644
--- a/pandas/core/arrays/masked.py
+++ b/pandas/core/arrays/masked.py
@@ -224,12 +224,9 @@ def __len__(self) -> int:
     def __invert__(self: BaseMaskedArrayT) -> BaseMaskedArrayT:
         return type(self)(~self._data, self._mask.copy())
 
-    # error: Argument 1 of "to_numpy" is incompatible with supertype "ExtensionArray";
-    # supertype defines the argument type as "Union[ExtensionDtype, str, dtype[Any],
-    # Type[str], Type[float], Type[int], Type[complex], Type[bool], Type[object], None]"
-    def to_numpy(  # type: ignore[override]
+    def to_numpy(
         self,
-        dtype: NpDtype | None = None,
+        dtype: npt.DTypeLike | None = None,
         copy: bool = False,
         na_value: Scalar = lib.no_default,
     ) -> np.ndarray:
diff --git a/pandas/core/arrays/numpy_.py b/pandas/core/arrays/numpy_.py
index ec7bd132832d13..410497d61c98b8 100644
--- a/pandas/core/arrays/numpy_.py
+++ b/pandas/core/arrays/numpy_.py
@@ -10,6 +10,7 @@
     Dtype,
     NpDtype,
     Scalar,
+    npt,
 )
 from pandas.compat.numpy import function as nv
 
@@ -365,12 +366,9 @@ def skew(
     # ------------------------------------------------------------------------
     # Additional Methods
 
-    # error: Argument 1 of "to_numpy" is incompatible with supertype "ExtensionArray";
-    # supertype defines the argument type as "Union[ExtensionDtype, str, dtype[Any],
-    # Type[str], Type[float], Type[int], Type[complex], Type[bool], Type[object], None]"
-    def to_numpy(  # type: ignore[override]
+    def to_numpy(
         self,
-        dtype: NpDtype | None = None,
+        dtype: npt.DTypeLike | None = None,
         copy: bool = False,
         na_value=lib.no_default,
     ) -> np.ndarray:
diff --git a/pandas/core/arrays/string_arrow.py b/pandas/core/arrays/string_arrow.py
index 4be7f4eb0c521c..9411d3535e06ff 100644
--- a/pandas/core/arrays/string_arrow.py
+++ b/pandas/core/arrays/string_arrow.py
@@ -24,6 +24,7 @@
     Scalar,
     ScalarIndexer,
     SequenceIndexer,
+    npt,
 )
 from pandas.compat import (
     pa_version_under1p0,
@@ -199,12 +200,9 @@ def __arrow_array__(self, type=None):
         """Convert myself to a pyarrow Array or ChunkedArray."""
         return self._data
 
-    # error: Argument 1 of "to_numpy" is incompatible with supertype "ExtensionArray";
-    # supertype defines the argument type as "Union[ExtensionDtype, str, dtype[Any],
-    # Type[str], Type[float], Type[int], Type[complex], Type[bool], Type[object], None]"
-    def to_numpy(  # type: ignore[override]
+    def to_numpy(
         self,
-        dtype: NpDtype | None = None,
+        dtype: npt.DTypeLike | None = None,
         copy: bool = False,
         na_value=lib.no_default,
     ) -> np.ndarray:
diff --git a/pandas/core/base.py b/pandas/core/base.py
index c7a707fd5cd6ed..048831a74d1a5a 100644
--- a/pandas/core/base.py
+++ b/pandas/core/base.py
@@ -516,16 +516,8 @@ def to_numpy(
         """
         if is_extension_array_dtype(self.dtype):
             # error: Too many arguments for "to_numpy" of "ExtensionArray"
-
-            # error: Argument 1 to "to_numpy" of "ExtensionArray" has incompatible type
-            # "Optional[Union[dtype[Any], None, type, _SupportsDType[dtype[Any]], str,
-            # Union[Tuple[Any, int], Tuple[Any, Union[SupportsIndex,
-            # Sequence[SupportsIndex]]], List[Any], _DTypeDict, Tuple[Any, Any]]]]";
-            # expected "Optional[Union[ExtensionDtype, Union[str, dtype[Any]],
-            # Type[str], Type[float], Type[int], Type[complex], Type[bool],
-            # Type[object]]]"
             return self.array.to_numpy(  # type: ignore[call-arg]
-                dtype, copy=copy, na_value=na_value, **kwargs  # type: ignore[arg-type]
+                dtype, copy=copy, na_value=na_value, **kwargs
             )
         elif kwargs:
             bad_keys = list(kwargs.keys())[0]
diff --git a/pandas/core/groupby/generic.py b/pandas/core/groupby/generic.py
index 469e0e3901721a..28c44ff64c3e15 100644
--- a/pandas/core/groupby/generic.py
+++ b/pandas/core/groupby/generic.py
@@ -792,24 +792,6 @@ def count(self) -> Series:
         )
         return self._reindex_output(result, fill_value=0)
 
-    def pct_change(self, periods=1, fill_method="pad", limit=None, freq=None):
-        """Calculate pct_change of each value to previous entry in group"""
-        # TODO: Remove this conditional when #23918 is fixed
-        if freq:
-            return self.apply(
-                lambda x: x.pct_change(
-                    periods=periods, fill_method=fill_method, limit=limit, freq=freq
-                )
-            )
-        if fill_method is None:  # GH30463
-            fill_method = "pad"
-            limit = 0
-        filled = getattr(self, fill_method)(limit=limit)
-        fill_grp = filled.groupby(self.grouper.codes)
-        shifted = fill_grp.shift(periods=periods, freq=freq)
-
-        return (filled / shifted) - 1
-
     @doc(Series.nlargest)
     def nlargest(self, n: int = 5, keep: str = "first"):
         f = partial(Series.nlargest, n=n, keep=keep)
@@ -1086,14 +1068,10 @@ def _aggregate_item_by_item(self, func, *args, **kwargs) -> DataFrame:
         #  test_resample_apply_product
 
         obj = self._obj_with_exclusions
-        result: dict[int | str, NDFrame] = {}
-        for i, item in enumerate(obj):
-            ser = obj.iloc[:, i]
-            colg = SeriesGroupBy(
-                ser, selection=item, grouper=self.grouper, exclusions=self.exclusions
-            )
+        result: dict[int, NDFrame] = {}
 
-            result[i] = colg.aggregate(func, *args, **kwargs)
+        for i, (item, sgb) in enumerate(self._iterate_column_groupbys(obj)):
+            result[i] = sgb.aggregate(func, *args, **kwargs)
 
         res_df = self.obj._constructor(result)
         res_df.columns = obj.columns
@@ -1168,11 +1146,7 @@ def _wrap_applied_output_series(
             applied_index = self._selected_obj._get_axis(self.axis)
             singular_series = len(values) == 1 and applied_index.nlevels == 1
 
-            # assign the name to this series
             if singular_series:
-                keys = self.grouper.group_keys_seq
-                values[0].name = keys[0]
-
                 # GH2893
                 # we have series in the values array, we want to
                 # produce a series:
@@ -1372,14 +1346,7 @@ def _transform_item_by_item(self, obj: DataFrame, wrapper) -> DataFrame:
         #  gets here with non-unique columns
         output = {}
         inds = []
-        for i, col in enumerate(obj):
-            subset = obj.iloc[:, i]
-            sgb = SeriesGroupBy(
-                subset,
-                selection=col,
-                grouper=self.grouper,
-                exclusions=self.exclusions,
-            )
+        for i, (colname, sgb) in enumerate(self._iterate_column_groupbys(obj)):
             try:
                 output[i] = sgb.transform(wrapper)
             except TypeError:
diff --git a/pandas/core/groupby/groupby.py b/pandas/core/groupby/groupby.py
index 256276c3c91e31..a969b9d0ee1609 100644
--- a/pandas/core/groupby/groupby.py
+++ b/pandas/core/groupby/groupby.py
@@ -1037,7 +1037,7 @@ def reset_identity(values):
             if self.as_index:
 
                 # possible MI return case
-                group_keys = self.grouper.group_keys_seq
+                group_keys = self.grouper.result_index
                 group_levels = self.grouper.levels
                 group_names = self.grouper.names
 
@@ -3236,6 +3236,7 @@ def shift(self, periods=1, freq=None, axis=0, fill_value=None):
         )
         return res
 
+    @final
     @Substitution(name="groupby")
     @Appender(_common_see_also)
     def pct_change(self, periods=1, fill_method="pad", limit=None, freq=None, axis=0):
@@ -3247,6 +3248,7 @@ def pct_change(self, periods=1, fill_method="pad", limit=None, freq=None, axis=0
         Series or DataFrame
             Percentage changes within each group.
         """
+        # TODO: Remove this conditional for SeriesGroupBy when GH#23918 is fixed
         if freq is not None or axis != 0:
             return self.apply(
                 lambda x: x.pct_change(
diff --git a/pandas/core/internals/blocks.py b/pandas/core/internals/blocks.py
index e3fcff1557ca95..da0f8d2549a8b2 100644
--- a/pandas/core/internals/blocks.py
+++ b/pandas/core/internals/blocks.py
@@ -228,6 +228,11 @@ def get_values(self, dtype: DtypeObj | None = None) -> np.ndarray:
         # expected "ndarray")
         return self.values  # type: ignore[return-value]
 
+    def values_for_json(self) -> np.ndarray:
+        # Incompatible return value type (got "Union[ndarray[Any, Any],
+        # ExtensionArray]", expected "ndarray[Any, Any]")
+        return self.values  # type: ignore[return-value]
+
     @final
     @cache_readonly
     def fill_value(self):
@@ -1375,6 +1380,9 @@ def get_values(self, dtype: DtypeObj | None = None) -> np.ndarray:
         # TODO(EA2D): reshape not needed with 2D EAs
         return np.asarray(values).reshape(self.shape)
 
+    def values_for_json(self) -> np.ndarray:
+        return np.asarray(self.values)
+
     def interpolate(
         self, method="pad", axis=0, inplace=False, limit=None, fill_value=None, **kwargs
     ):
@@ -1805,6 +1813,11 @@ class DatetimeLikeBlock(NDArrayBackedExtensionBlock):
     is_numeric = False
     values: DatetimeArray | TimedeltaArray
 
+    def values_for_json(self) -> np.ndarray:
+        # special casing datetimetz to avoid conversion through
+        #  object dtype
+        return self.values._ndarray
+
 
 class DatetimeTZBlock(DatetimeLikeBlock):
     """implement a datetime64 block with a tz attribute"""
diff --git a/pandas/core/internals/managers.py b/pandas/core/internals/managers.py
index a9894ab5acf237..fa5f41d373e432 100644
--- a/pandas/core/internals/managers.py
+++ b/pandas/core/internals/managers.py
@@ -998,24 +998,25 @@ def column_arrays(self) -> list[np.ndarray]:
         """
         Used in the JSON C code to access column arrays.
         This optimizes compared to using `iget_values` by converting each
-        block.values to a np.ndarray only once up front
         """
-        # special casing datetimetz to avoid conversion through object dtype
-        arrays = [
-            blk.values._ndarray
-            if isinstance(blk, DatetimeTZBlock)
-            else np.asarray(blk.values)
-            for blk in self.blocks
-        ]
-        result = []
-        for i in range(len(self.items)):
-            arr = arrays[self.blknos[i]]
-            if arr.ndim == 2:
-                values = arr[self.blklocs[i]]
+        # This is an optimized equivalent to
+        #  result = [self.iget_values(i) for i in range(len(self.items))]
+        result: list[np.ndarray | None] = [None] * len(self.items)
+
+        for blk in self.blocks:
+            mgr_locs = blk._mgr_locs
+            values = blk.values_for_json()
+            if values.ndim == 1:
+                # TODO(EA2D): special casing not needed with 2D EAs
+                result[mgr_locs[0]] = values
+
             else:
-                values = arr
-            result.append(values)
-        return result
+                for i, loc in enumerate(mgr_locs):
+                    result[loc] = values[i]
+
+        # error: Incompatible return value type (got "List[None]",
+        # expected "List[ndarray[Any, Any]]")
+        return result  # type: ignore[return-value]
 
     def iset(self, loc: int | slice | np.ndarray, value: ArrayLike):
         """
diff --git a/pandas/io/common.py b/pandas/io/common.py
index 5c5b9c65b8abd1..46be1f9bb09b2e 100644
--- a/pandas/io/common.py
+++ b/pandas/io/common.py
@@ -17,6 +17,7 @@
 )
 import mmap
 import os
+from pathlib import Path
 import tempfile
 from typing import (
     IO,
@@ -520,6 +521,21 @@ def infer_compression(
     raise ValueError(msg)
 
 
+def check_parent_directory(path: Path | str) -> None:
+    """
+    Check if parent directory of a file exists, raise OSError if it does not
+
+    Parameters
+    ----------
+    path: Path or str
+        Path to check parent directory of
+
+    """
+    parent = Path(path).parent
+    if not parent.is_dir():
+        raise OSError(fr"Cannot save file into a non-existent directory: '{parent}'")
+
+
 def get_handle(
     path_or_buf: FilePathOrBuffer,
     mode: str,
@@ -632,6 +648,10 @@ def get_handle(
     compression_args = dict(ioargs.compression)
     compression = compression_args.pop("method")
 
+    # Only for write methods
+    if "r" not in mode and is_path:
+        check_parent_directory(str(handle))
+
     if compression:
         # compression libraries do not like an explicit text-mode
         ioargs.mode = ioargs.mode.replace("t", "")
diff --git a/pandas/io/formats/format.py b/pandas/io/formats/format.py
index 3fd3d84f901616..d636838d21d0e2 100644
--- a/pandas/io/formats/format.py
+++ b/pandas/io/formats/format.py
@@ -96,7 +96,10 @@
 from pandas.core.indexes.timedeltas import TimedeltaIndex
 from pandas.core.reshape.concat import concat
 
-from pandas.io.common import stringify_path
+from pandas.io.common import (
+    check_parent_directory,
+    stringify_path,
+)
 from pandas.io.formats.printing import (
     adjoin,
     justify,
@@ -1147,6 +1150,7 @@ def get_buffer(buf: FilePathOrBuffer[str] | None, encoding: str | None = None):
     if hasattr(buf, "write"):
         yield buf
     elif isinstance(buf, str):
+        check_parent_directory(str(buf))
         with open(buf, "w", encoding=encoding, newline="") as f:
             # GH#30034 open instead of codecs.open prevents a file leak
             #  if we have an invalid encoding argument.
diff --git a/pandas/tests/groupby/test_timegrouper.py b/pandas/tests/groupby/test_timegrouper.py
index f40fb8cba34351..0debe39eb294dd 100644
--- a/pandas/tests/groupby/test_timegrouper.py
+++ b/pandas/tests/groupby/test_timegrouper.py
@@ -24,16 +24,11 @@
 
 
 @pytest.fixture
-def groupby_with_truncated_bingrouper():
+def frame_for_truncated_bingrouper():
     """
-    GroupBy object such that gb.grouper is a BinGrouper and
-    len(gb.grouper.result_index) < len(gb.grouper.group_keys_seq)
-
-    Aggregations on this groupby should have
-
-        dti = date_range("2013-09-01", "2013-10-01", freq="5D", name="Date")
-
-    As either the index or an index level.
+    DataFrame used by groupby_with_truncated_bingrouper, made into
+    a separate fixture for easier re-use in
+    test_groupby_apply_timegrouper_with_nat_apply_squeeze
     """
     df = DataFrame(
         {
@@ -48,6 +43,22 @@ def groupby_with_truncated_bingrouper():
             ],
         }
     )
+    return df
+
+
+@pytest.fixture
+def groupby_with_truncated_bingrouper(frame_for_truncated_bingrouper):
+    """
+    GroupBy object such that gb.grouper is a BinGrouper and
+    len(gb.grouper.result_index) < len(gb.grouper.group_keys_seq)
+
+    Aggregations on this groupby should have
+
+        dti = date_range("2013-09-01", "2013-10-01", freq="5D", name="Date")
+
+    As either the index or an index level.
+    """
+    df = frame_for_truncated_bingrouper
 
     tdg = Grouper(key="Date", freq="5D")
     gb = df.groupby(tdg)
@@ -847,3 +858,31 @@ def test_groupby_apply_timegrouper_with_nat_scalar_returns(
         )
 
         tm.assert_series_equal(res, expected)
+
+    def test_groupby_apply_timegrouper_with_nat_apply_squeeze(
+        self, frame_for_truncated_bingrouper
+    ):
+        df = frame_for_truncated_bingrouper
+
+        # We need to create a GroupBy object with only one non-NaT group,
+        #  so use a huge freq so that all non-NaT dates will be grouped together
+        tdg = Grouper(key="Date", freq="100Y")
+
+        with tm.assert_produces_warning(FutureWarning, match="`squeeze` parameter"):
+            gb = df.groupby(tdg, squeeze=True)
+
+        # check that we will go through the singular_series path
+        #  in _wrap_applied_output_series
+        assert gb.ngroups == 1
+        assert gb._selected_obj._get_axis(gb.axis).nlevels == 1
+
+        # function that returns a Series
+        res = gb.apply(lambda x: x["Quantity"] * 2)
+
+        key = Timestamp("2013-12-31")
+        ordering = df["Date"].sort_values().dropna().index
+        mi = MultiIndex.from_product([[key], ordering], names=["Date", None])
+
+        ex_values = df["Quantity"].take(ordering).values * 2
+        expected = Series(ex_values, index=mi, name="Quantity")
+        tm.assert_series_equal(res, expected)
diff --git a/pandas/tests/io/test_common.py b/pandas/tests/io/test_common.py
index fc834c7acf39fa..ad0b25d26d6f61 100644
--- a/pandas/tests/io/test_common.py
+++ b/pandas/tests/io/test_common.py
@@ -227,6 +227,33 @@ def test_read_non_existent(self, reader, module, error_class, fn_ext):
         ):
             reader(path)
 
+    @pytest.mark.parametrize(
+        "method, module, error_class, fn_ext",
+        [
+            (pd.DataFrame.to_csv, "os", OSError, "csv"),
+            (pd.DataFrame.to_html, "os", OSError, "html"),
+            (pd.DataFrame.to_excel, "xlrd", OSError, "xlsx"),
+            (pd.DataFrame.to_feather, "pyarrow", OSError, "feather"),
+            (pd.DataFrame.to_parquet, "pyarrow", OSError, "parquet"),
+            (pd.DataFrame.to_stata, "os", OSError, "dta"),
+            (pd.DataFrame.to_json, "os", OSError, "json"),
+            (pd.DataFrame.to_pickle, "os", OSError, "pickle"),
+        ],
+    )
+    # NOTE: Missing parent directory for pd.DataFrame.to_hdf is handled by PyTables
+    def test_write_missing_parent_directory(self, method, module, error_class, fn_ext):
+        pytest.importorskip(module)
+
+        dummy_frame = pd.DataFrame({"a": [1, 2, 3], "b": [2, 3, 4], "c": [3, 4, 5]})
+
+        path = os.path.join(HERE, "data", "missing_folder", "does_not_exist." + fn_ext)
+
+        with pytest.raises(
+            error_class,
+            match=r"Cannot save file into a non-existent directory: .*missing_folder",
+        ):
+            method(dummy_frame, path)
+
     @pytest.mark.parametrize(
         "reader, module, error_class, fn_ext",
         [
diff --git a/pandas/tests/io/xml/test_to_xml.py b/pandas/tests/io/xml/test_to_xml.py
index 4f4815b9008ad4..b8d146c597d2c4 100644
--- a/pandas/tests/io/xml/test_to_xml.py
+++ b/pandas/tests/io/xml/test_to_xml.py
@@ -202,10 +202,13 @@ def test_str_output(datapath, parser):
 
 
 def test_wrong_file_path(parser):
+    path = "/my/fake/path/output.xml"
+
     with pytest.raises(
-        FileNotFoundError, match=("No such file or directory|没有那个文件或目录")
+        OSError,
+        match=(r"Cannot save file into a non-existent directory: .*path"),
     ):
-        geom_df.to_xml("/my/fake/path/output.xml", parser=parser)
+        geom_df.to_xml(path, parser=parser)
 
 
 # INDEX