Add stacklevel to warnings.warn calls

[RNKuhns]

Reference Issues/PRs

flake8 raises a warning for calls to warnings.warn that don't specify the stacklevel parameter. stacklevel controls where the warning is shown from. Using stacklevel=2 raises the warning at the code 1-level above the warnings.warn call, which seems like a reasonable default.

PR checklist

For all contributions

• I've reviewed the project documentation on contributing
• I've added myself to the list of contributors.
• The PR title starts with either [ENH], [CI/CD], [MNT], [DOC], or [BUG] indicating whether
  the PR topic is related to enhancement, CI/CD, maintenance, documentation, or a bug.

For code contributions

• Unit tests have been added covering code functionality
• Appropriate docstrings have been added (see documentation standards)
• New public functionality has been added to the API Reference

[codecov-commenter]

Codecov Report

Merging #137 (69e4498) into main (4de5c36) will not change coverage.
The diff coverage is 20.00%.

📣 This organization is not using Codecov’s GitHub App Integration. We recommend you install it so Codecov can continue to function properly for your repositories. Learn more

@@           Coverage Diff           @@
##             main     #137   +/-   ##
=======================================
  Coverage   82.03%   82.03%           
=======================================
  Files          30       30           
  Lines        2249     2249           
=======================================
  Hits         1845     1845           
  Misses        404      404           

Impacted Files	Coverage Δ
skbase/base/_base.py	83.21% <0.00%> (ø)
skbase/lookup/_lookup.py	95.48% <0.00%> (ø)
skbase/testing/utils/_dependencies.py	57.42% <33.33%> (ø)

Help us with your feedback. Take ten seconds to tell us how you rate us. Have a feature suggestion? Share it here.

[RNKuhns]

@fkiraly this is a blocker for other PRs, because it causes CI to fail.

[fkiraly]

Yes, I know - I already fixed it in sktime in some places.