Slow setting PeriodIndex vs DatetimeIndex

[bartbkr]

When attempting to set an index using a Period rather than a Datetime,
the performance significantly deteriorates. A small example:

import pandas as pa
obs = 1000
start_date = '1/1/1900'
df = pa.DataFrame(list(range(1, obs + 1)))
df['dateindex'] = pa.date_range('1/1/1900', periods=obs, freq='M')
df['periodindex'] = pa.period_range('1/1/1900', periods=obs, freq='M')
%timeit df.set_index('dateindex')
#1000 loops, best of 3: 444 µs per loop
%timeit df.set_index('periodindex')
#1000 loops, best of 3: 1.89 ms per loop

This difference in performance becomes especially frustrating with
larger dataframes. In order for Period to be as useful as Datetime,
these should be much closer in performance.

[jreback]

this is a symptom of #7964 it is an object dtype now and is not first class. contributions along those lines are welcome.