`drop_duplicates` on non-existent column should raise warning

[ConstantinoSchillebeeckx]

import pandas as pd

dat = pd.DataFrame([
    {'a':1,'b':2,'c':3},
    {'a':1,'b':2,'c':3}
])

dat.drop_duplicates(subset=['a','d'])

	a	b	c
0	1	2	3

Problem description

When using drop_duplicates() with the subset option, a warning should probably be raised when trying to subset on a column that doesn't exist.

Output of pd.show_versions()

INSTALLED VERSIONS

commit: None
python: 3.6.3.final.0
python-bits: 64
OS: Darwin
OS-release: 17.5.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.22.0
pytest: 3.3.1
pip: 10.0.1
setuptools: 28.8.0
Cython: None
numpy: 1.13.3
scipy: 1.0.1
pyarrow: None
xarray: None
IPython: 6.2.1
sphinx: None
patsy: None
dateutil: 2.6.1
pytz: 2017.2
blosc: None
bottleneck: None
tables: None
numexpr: None
feather: None
matplotlib: 2.2.2
openpyxl: None
xlrd: 1.1.0
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: 1.0.1
sqlalchemy: 1.1.15
pymysql: None
psycopg2: 2.7 (dt dec pq3 ext lo64)
jinja2: 2.10
s3fs: None
fastparquet: None
pandas_gbq: None
pandas_datareader: None

[TomAugspurger]

This raises on master. Looks like #19730 implemented. It'll be in 0.23 (hopefully 1 week away).

import pandas as pd

dat = pd.DataFrame([
    {'a':1,'b':2,'c':3},
    {'a':1,'b':2,'c':3}
])

dat.drop_duplicates(subset=['a','d'])

## -- End pasted text --
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
<ipython-input-13-2414fa1d4159> in <module>()
      6 ])
      7
----> 8 dat.drop_duplicates(subset=['a','d'])

~/sandbox/pandas/pandas/core/frame.py in drop_duplicates(self, subset, keep, inplace)
   4287         """
   4288         inplace = validate_bool_kwarg(inplace, 'inplace')
-> 4289         duplicated = self.duplicated(subset, keep=keep)
   4290
   4291         if inplace:

~/sandbox/pandas/pandas/core/frame.py in duplicated(self, subset, keep)
   4337         diff = Index(subset).difference(self.columns)
   4338         if not diff.empty:
-> 4339             raise KeyError(diff)
   4340
   4341         vals = (col.values for name, col in self.iteritems()

KeyError: Index(['d'], dtype='object')

The error message could be a little friendlier, but this is an improvement.

[kahuria00]

I had KeyError and thanks to this issue I was able to fix it.