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This is an opinionated (start) to a guide to using Exceptions in Pandas.
Overall: use builtin exceptions wherever possible and avoid using raise Exception!
Builtin Exceptions
Again, looking at the docs on builtin exceptions is the best way to decide which to use (even includes explanations of what each sort of Exception is meant for).
Using Pandas-provided Exceptions
Unless you see a very specific need (like using Exceptions to signal or an error that just doesn't fit in any other way), you should use builtin exceptions.