ERR: raise KeyError on invalid column name in aggregate

doc/source/whatsnew/v0.23.0.txt

@@ -647,7 +647,7 @@ Groupby/Resample/Rolling
 - Bug in :func:`DataFrame.groupby` where aggregation by ``first``/``last``/``min``/``max`` was causing timestamps to lose precision (:issue:`19526`)
 - Bug in :func:`DataFrame.transform` where particular aggregation functions were being incorrectly cast to match the dtype(s) of the grouped data (:issue:`19200`)
 - Bug in :func:`DataFrame.groupby` passing the `on=` kwarg, and subsequently using ``.apply()`` (:issue:`17813`)
-- Bug in :func:`DataFrame.resample().aggregate` not raising a `ValueError` when aggregating a non-existent column (:issue:`16766`)
+- Bug in :func:`DataFrame.resample().aggregate` not raising a ``KeyError`` when aggregating a non-existent column (:issue:`16766`, :issue:`19566`)
 
 Sparse
 ^^^^^^

pandas/core/base.py

@@ -394,7 +394,7 @@ def nested_renaming_depr(level=4):
                         nested_renaming_depr()
                     elif isinstance(obj, ABCDataFrame) and \
                             k not in obj.columns:
-                        raise ValueError(
+                        raise KeyError(
                             "Column '{col}' does not exist!".format(col=k))
 
                 arg = new_arg

pandas/tests/test_resample.py

@@ -613,7 +613,7 @@ def f():
                     t[['A']].agg({'A': ['sum', 'std'],
                                   'B': ['mean', 'std']})
 
-            pytest.raises(ValueError, f)
+            pytest.raises(KeyError, f)
 
     def test_agg_nested_dicts(self):
 
@@ -668,7 +668,7 @@ def test_try_aggregate_non_existing_column(self):
         df = DataFrame(data).set_index('dt')
 
         # Error as we don't have 'z' column
-        with pytest.raises(ValueError):
+        with pytest.raises(KeyError):
             df.resample('30T').agg({'x': ['mean'],
                                     'y': ['median'],
                                     'z': ['sum']})