BUG: Correct crosstab for categorical inputs
Change catch types to reflect error changes

closes #37465

- [X] closes #37465
- [X] tests added / passed
- [X] passes `black pandas`
- [X] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [X] whatsnew entry (N/A: Never released, caught in statsmodels pre-release testing)

Retrigger CI @bashtage if u can add a note to 1.1.4 can push this in

ping on greenish  @jreback green and note added.  sorry i misread the OP

@bashtage can u move the note to 1.2 @jreback I confirmed that this is not a bug in the 1.1.x branch.

I have left out a release note since this code has never been released.  This seems like the right thing to do, isn't it?

For posterity, if needed, the line is

`- Fixed regression in :meth:`crosstab` that failed when the input series are categorical (:issue:`37465`)`

so I can add to 1.20 if required.
 Hello @bashtage! 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 2020-10-31 00:09:24 UTC thanks @bashtage 