How to assign a name to the size() column?

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The .size() built-in method of DataFrameGroupBy objects actually returns a Series object with the group sizes and not a DataFrame. If you want a DataFrame whose column is the group sizes, indexed by the groups, with a custom name, you can use the .to_frame() method and use the desired column name as its argument. 

grpd = df.groupby(['A','B']).size().to_frame('size')

If you wanted the groups to be columns again you could add a .reset_index() at the end.

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