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Backport PR #38649: BUG: Fix regression for groupby.indices in case of unused categories

@lumberbot-app lumberbot-app bot added this to the 1.2.1 milestone Dec 29, 2020
@jreback jreback added Categorical Categorical Data Type Groupby labels Dec 29, 2020
@simonjayhawkins simonjayhawkins merged commit 7550eed into pandas-dev:1.2.x Dec 30, 2020
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