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Showing content from https://github.com/pandas-dev/pandas/issues/44324 below:

BUG: SeriesGroupBy.value_counts - index name missing when applied on categorical column · Issue #44324 · pandas-dev/pandas · GitHub

I have checked that this issue has not already been reported.
I have confirmed this bug exists on the latest version of pandas.
I have confirmed this bug exists on the master branch of pandas.

Reproducible Example

import pandas as pd
df = pd.DataFrame({'gender': ['female', 'male', 'female', 'male', 'female', 'male'],
                  'education': ['low', 'medium', 'high', 'low', 'high', 'low'],
                  'country': ['US', 'FR', 'US', 'FR', 'FR', 'US']})
df.dtypes  
gender       object
education    object
country      object
dtype: object

df.groupby('country')['gender'].value_counts()

country  gender
FR       male      2
         female    1
US       female    2
         male      1
Name: gender, dtype: int64

df.groupby('country')['gender'].value_counts().index.names

FrozenList(['country', 'gender'])

Now, if using a categorical type on the genre column, the column name is not saved in the index:

df['gender'] = df['gender'].astype('category')
df.dtypes

gender       category
education      object
country        object
dtype: object

df.groupby('country')['gender'].value_counts()

country
FR       male      2
         female    1
US       female    2
         male      1
Name: gender, dtype: int64

df.groupby('country')['gender'].value_counts().index.names

FrozenList(['country', None])

Issue Description

The column name (here gender) is dropped when applying value_counts() on a column of type category.

It might be link with other problems in handling categorical types: #44001

This was working as of pandas v 1.2.3, and I could reproduce the bug starting with v 1.3.0, still present in v 1.3.4

Expected Behavior

Column name should be added in the index for uniformity with other types, as in the first example above with object type column.

Installed Versions pd.show_versions() INSTALLED VERSIONS ------------------ commit : 945c9ed python : 3.9.6.final.0 python-bits : 64 OS : Darwin OS-release : 21.1.0 Version : Darwin Kernel Version 21.1.0: Wed Oct 13 17:33:23 PDT 2021; root:xnu-8019.41.5~1/RELEASE_X86_64 machine : x86_64 processor : i386 byteorder : little LC_ALL : None LANG : None LOCALE : None.UTF-8

pandas : 1.3.4
numpy : 1.21.4
pytz : 2021.3
dateutil : 2.8.2
pip : 21.3.1
setuptools : 57.0.0
Cython : None
pytest : 6.2.4
hypothesis : None
sphinx : None
blosc : None
feather : None
xlsxwriter : None
lxml.etree : 4.6.3
html5lib : None
pymysql : None
psycopg2 : None
jinja2 : 3.0.1
IPython : 7.26.0
pandas_datareader: None
bs4 : 4.9.3
bottleneck : None
fsspec : None
fastparquet : None
gcsfs : None
matplotlib : 3.4.3
numexpr : None
odfpy : None
openpyxl : None
pandas_gbq : None
pyarrow : None
pyxlsb : None
s3fs : None
scipy : 1.7.1
sqlalchemy : None
tables : None
tabulate : 0.8.9
xarray : 0.19.0
xlrd : None
xlwt : None
numba : None

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