BUG: loc misbehaves when Period is at start of 3-level MultiIndex

(#20684)

If index is MultiIndex and level of 0 is PeriodIndex, loc function raise
exception if all input of loc does not match index values

Author: proost

doc/source/whatsnew/v1.0.0.rst

@@ -174,7 +174,7 @@ Missing
 MultiIndex
 ^^^^^^^^^^
 
--
+- Bug in :meth:`DataFrame.loc` where :class:`PeriodIndex` is in level of 0 raise exception if entire key is not matched (:issue:`20684`)
 -
 
 I/O

pandas/_libs/tslibs/parsing.pyx

@@ -254,7 +254,7 @@ def parse_time_string(arg, freq=None, dayfirst=None, yearfirst=None):
     if not isinstance(arg, (str, unicode)):
         # Note: cython recognizes `unicode` in both py2/py3, optimizes
         # this check into a C call.
-        return arg
+        raise TypeError
 
     if getattr(freq, "_typ", None) == "dateoffset":
         freq = freq.rule_code

pandas/tests/indexes/period/test_period.py

@@ -617,6 +617,15 @@ def test_insert(self):
             result = period_range("2017Q1", periods=4, freq="Q").insert(1, na)
             tm.assert_index_equal(result, expected)
 
+    def test_contains_raise_key_error(self):
+        # issue 20684
+        df = DataFrame(
+            {"A": [Period("2019")], "B": ["x"], "C": ["y"], "V": [10]}
+        ).set_index(["A", "B", "C"])
+        msg = r"Period\('2019', 'A-DEC'\), 'foo', 'bar'"
+        with pytest.raises(KeyError, match=msg):
+            df.loc[(Period("2019"), "foo", "bar")]
+
 
 def test_maybe_convert_timedelta():
     pi = PeriodIndex(["2000", "2001"], freq="D")

pandas/tests/tslibs/test_parsing.py

@@ -209,3 +209,13 @@ def test_try_parse_dates():
 
     expected = np.array([parse(d, dayfirst=True) for d in arr])
     tm.assert_numpy_array_equal(result, expected)
+
+
+def test_check_instance_type():
+    # issue 20684
+    with pytest.raises(TypeError):
+        parse_time_string((1, 2, 3))
+
+    result = parse_time_string("2019")
+    expected = (datetime(2019, 1, 1), datetime(2019, 1, 1), "year")
+    assert result == expected