FIX raise when groupby selecting cols not in frame
KeyError part of #5264

rebase on master .....setuptools had changed so build was failing

the 2.6 failure is real though...
 lol to the failure, similar to me just claiming was an issue in 2.6. Silly.
 maybe slightly more intuitive, but yours pretty self exaplanatory

```
diff --git a/pandas/core/groupby.py b/pandas/core/groupby.py
index f0ee01d..fce8947 100644
--- a/pandas/core/groupby.py
+++ b/pandas/core/groupby.py
@@ -2579,8 +2579,8 @@ class DataFrameGroupBy(NDFrameGroupBy):
             raise Exception('Column(s) %s already selected' % self._selection)

         if isinstance(key, (list, tuple, Series, np.ndarray)):
-            if len(self.obj.columns.intersection(key)) != len(key):
-                bad_keys = list(set(key).difference(self.obj.columns))
+            if self.obj.columns.isin(key).sum() != len(key):
+                bad_keys = Index(key)-self.obj.columns
                 raise KeyError("Columns not found: %s"
                                % str(bad_keys)[1:-1])
             return DataFrameGroupBy(self.obj, self.grouper, selection=key,
```
 subtle improveent is that yours doesn't allow for repeats... whhich is not supported... should it be :s (rabbit hole?)
 hmm

I suppose that should technically be allowed
so go with yours 
 No methods work at the moment (as you're reindexing by a dupe), will have a little think.
 the reindexing could be fixed, but i think you are right, it opens a big can of worms.So pls add a check and test for dups (just raise ValueError) for now.
 Now I think about it, not tested axis=1...at all (I'm guessing this won't work, I could just raise as NotImplemented ) :S
 more tests on this for axis=1? release notes?
 ping!
 ping
 @hayd ping....need to get this in ASAP
 this looks fine. anything else on this? give ok and I'll merge it (I want to update the release note a bit)
 Will have some time for this late tomorrow (and wed and thurs), sorry been swamped recently, need to pull finger out on many PRs lined up mañana.

I see point on axis=1, I'm worried machinery is different... and not played with this.
 ping!
