DOC: Add hint for "Product space too large"
Adds a note to the documentation for `DataFrame.groupby` suggesting that the cause of a `Product space too large to allocate arrays!`  error may be from unexpected behavior when grouping on a combination of sparse categorical columns.

- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [ ] whatsnew entry

Feels like it should be better to add this information to the error message itself instead. Hello @mobiusklein! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:









There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2021-10-04 01:08:36 UTC +1 on @datapythonista's comment, I would recommend clarifying the error message itself. I have modified the error message, and adjusted the test to expect the new error message. Note, this error isn't thrown in `groupby` but inside an implementation detail method, which looked generic but apparently is only called by `groupby` right now. If it starts being called by other things, the error message may be misleading. @rhshadrach Thank you for finding the exact call site. I'll do that. This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. I will work on this when time permits. @mobiusklein - can you merge master. Some failures on the CI, but fairly certain they are unrelated. @rhshadrach I think that there is some sanity checking at a lower level, but the tests may fail on a 32 bit system where even the reduced cross-product space is too large to allocate. I've merged master in and will check where the failures are again. @mobiusklein - my apologies! I failed to notice that the context manager I asked to be added does not work on Windows. With this, I think it'd be best to just remove it (but otherwise leave the tests as-is). @mobiusklein - do you still want to work on this? Looks almost there  Looks like  `test_groupby_categorical_crossproduct` is still failing on py38 32 bit if you can merge master will look I've merged in `master` and added a branch case to the test. I was not able to conveniently find the right shape for 32 bit architectures, so settled for at least testing the expectation the call will fail on 32-bit architectures   this PR is way too complicated. I am ok with changing the error message but there is a lot of extraneous stuff here. Agreed. I think it should be suitable to append to the existing error message to use `observed=True` if data is categorical. Don't think it's completely necessary to test for the extra message  closing. this would need a much simpler PR to merge.