This error message can be hard to understand when there are several fields, as shown in the example below. This improves the error message, letting the user know which fields were unexpected or missing.
import xgboost as xgb
import pandas as pd
train = pd.DataFrame({'a':[1], 'b':[2], 'c':[3], 'd':[4], 'f':[2], 'g':2, 'etc etc etc':[11]})
dtrain = xgb.DMatrix(train.drop('d', axis=1), train.d)
test = pd.DataFrame({'a':[1], 'b':[2], 'c':[1], 'd':[4], 'e':[2], 'f':[2], 'g':2, 'etc etc etc':[11]})
dtest = xgb.DMatrix(test)
modl = xgb.train({}, dtrain)
modl.predict(dtest)
# ValueError: feature_names mismatch: [u'a', u'b', u'c', u'etc etc etc', u'f', u'g'] [u'a', u'b', u'c', u'd', u'e', u'etc etc etc', u'f', u'g']
Julian Quick