Code Sample, a copy-pastable example if possible
weeks = pd.Series(pd.date_range('2018-01', '2018-02', freq='7D', tz='America/New_York')) week_ago = weeks.groupby([1, 1, 1, 1, 1]).shift() print(week_ago)
Shifting a groupby'd datetime column removes the timezone. It's not mentioned in the documentation so either the timezone should be preserved or the documentation should mention that timezone is removed (by converting to UTC it seems).
I had a quick look and couldn't find another issue for this. I glanced at the GroupBy shift implementation and my guess is that it's due to cython/numpy not supporting timezones.
I'm happy to work on a fix if someone says what the preferred solution is.