http://pandas.pydata.org/pandas-docs/stable/api.html
e.g.
X_train.columns.difference(X_test.columns)
Comment From: jorisvandenbossche
This is already fixed in master (https://github.com/pydata/pandas/commit/03a39d9ca39b9d0b652b673d25736bce9d0e1b59). But thanks for the report!