pandas dataframe groupby datetime month

(update: 2018)

Note that pd.Timegrouper is depreciated and will be removed. Use instead:

 df.groupby(pd.Grouper(freq='M'))

Managed to do it:

b = pd.read_csv('b.dat')
b.index = pd.to_datetime(b['date'],format='%m/%d/%y %I:%M%p')
b.groupby(by=[b.index.month, b.index.year])

Or

b.groupby(pd.Grouper(freq='M'))  # update for v0.21+