EHN: Groupby on multiindex with missing data in group keys raises

IndexError (pandas-dev#20519)

* if all the values in a level of a MultiIndex were missing, fill with
numpy nan

Author: proost

doc/source/whatsnew/v1.0.0.rst

@@ -174,7 +174,8 @@ Groupby/resample/rolling
 ^^^^^^^^^^^^^^^^^^^^^^^^
 
 -
--
+- ``IndexError`` would not raise if all the values in a level of a MultiIndex were missing (:issue:`20519`)
+- Bug in :meth:`DataFrame.rolling` not allowing for rolling over datetimes when ``axis=1`` (:issue: `28192`)
 - Bug in :meth:`DataFrame.groupby` not offering selection by column name when ``axis=1`` (:issue:`27614`)
 
 Reshaping

pandas/tests/groupby/test_grouping.py

@@ -628,6 +628,49 @@ def test_groupby_empty(self):
         # check name
         assert s.groupby(s).grouper.names == ["name"]
 
+    def test_groupby_level_index_value_all_na(self):
+        # issue 20519
+        df = pd.DataFrame([["x", np.nan, 10]], columns=["A", "B", "C"]).set_index(
+            ["A", "B"]
+        )
+        result = df.groupby(level=["A", "B"]).sum()
+        expected = DataFrame(
+            data=[],
+            index=MultiIndex(
+                levels=[
+                    Index(["x"], dtype="object", name="A"),
+                    Index([], dtype='float64', name="B")
+                ],
+                codes=[[], []]
+            ),
+            columns=["C"],
+            dtype='int64'
+        )
+        tm.assert_frame_equal(
+            result,
+            expected
+        )
+
+        df = pd.DataFrame(
+            [[None, None, "x", 10], [None, "y", None, 20]],
+            columns=["A", "B", "C", "D"]
+        ).set_index(["A", "B", "C"])
+        result = df.groupby(level=["A", "B", "C"]).sum()
+        expected = DataFrame(
+            data=[],
+            index=MultiIndex(
+                levels=[[], ["y"], ["x"]],
+                codes=[[], [], []],
+                names=["A", "B", "C"]
+            ),
+            columns=["D"],
+            dtype='int64'
+        )
+        tm.assert_frame_equal(
+            result,
+            expected
+        )
+
 
 # get_group
 # --------------------------------