BUG: set_levels set illegal levels.

doc/source/whatsnew/v0.19.0.txt

@@ -1560,6 +1560,6 @@ Bug Fixes
 - Bug in ``.to_string()`` when called with an integer ``line_width`` and ``index=False`` raises an UnboundLocalError exception because ``idx`` referenced before assignment.
 - Bug in ``eval()`` where the ``resolvers`` argument would not accept a list (:issue:`14095`)
 - Bugs in ``stack``, ``get_dummies``, ``make_axis_dummies`` which don't preserve categorical dtypes in (multi)indexes (:issue:`13854`)
-- ``PeridIndex`` can now accept ``list`` and ``array`` which contains ``pd.NaT`` (:issue:`13430`)
+- ``PeriodIndex`` can now accept ``list`` and ``array`` which contains ``pd.NaT`` (:issue:`13430`)
 - Bug in ``df.groupby`` where ``.median()`` returns arbitrary values if grouped dataframe contains empty bins (:issue:`13629`)
 - Bug in ``Index.copy()`` where ``name`` parameter was ignored (:issue:`14302`)

doc/source/whatsnew/v0.19.1.txt

@@ -31,3 +31,4 @@ Performance Improvements
 Bug Fixes
 ~~~~~~~~~
 - Bug in ``pd.concat`` where names of the ``keys`` were not propagated to the resulting ``MultiIndex`` (:issue:`14252`)
+- Bug in ``MultiIndex.set_levels`` where illegal level values were still set after raising an error (:issue:`13754`)

pandas/indexes/multi.py

@@ -116,12 +116,27 @@ def __new__(cls, levels=None, labels=None, sortorder=None, names=None,
 
         return result
 
-    def _verify_integrity(self):
-        """Raises ValueError if length of levels and labels don't match or any
-        label would exceed level bounds"""
+    def _verify_integrity(self, labels=None, levels=None):
+        """
+
+        Parameters
+        ----------
+        labels : optional list
+            Labels to check for validity. Defaults to current labels.
+        levels : optional list
+            Levels to check for validity. Defaults to current levels.
+
+        Raises
+        ------
+        ValueError
+            * if length of levels and labels don't match or any label would
+            exceed level bounds
+        """
         # NOTE: Currently does not check, among other things, that cached
         # nlevels matches nor that sortorder matches actually sortorder.
-        labels, levels = self.labels, self.levels
+        labels = labels or self.labels
+        levels = levels or self.levels
+
         if len(levels) != len(labels):
             raise ValueError("Length of levels and labels must match. NOTE:"
                              " this index is in an inconsistent state.")
@@ -162,6 +177,9 @@ def _set_levels(self, levels, level=None, copy=False, validate=True,
                 new_levels[l] = _ensure_index(v, copy=copy)._shallow_copy()
             new_levels = FrozenList(new_levels)
 
+        if verify_integrity:
+            self._verify_integrity(levels=new_levels)
+
         names = self.names
         self._levels = new_levels
         if any(names):
@@ -170,9 +188,6 @@ def _set_levels(self, levels, level=None, copy=False, validate=True,
         self._tuples = None
         self._reset_cache()
 
-        if verify_integrity:
-            self._verify_integrity()
-
     def set_levels(self, levels, level=None, inplace=False,
                    verify_integrity=True):
         """
@@ -268,13 +283,13 @@ def _set_labels(self, labels, level=None, copy=False, validate=True,
                     lab, lev, copy=copy)._shallow_copy()
             new_labels = FrozenList(new_labels)
 
+        if verify_integrity:
+            self._verify_integrity(labels=new_labels)
+
         self._labels = new_labels
         self._tuples = None
         self._reset_cache()
 
-        if verify_integrity:
-            self._verify_integrity()
-
     def set_labels(self, labels, level=None, inplace=False,
                    verify_integrity=True):
         """

pandas/tests/indexes/test_multi.py

@@ -149,14 +149,14 @@ def test_set_levels(self):
         levels = self.index.levels
         new_levels = [[lev + 'a' for lev in level] for level in levels]
 
-        def assert_matching(actual, expected):
+        def assert_matching(actual, expected, check_dtype=False):
             # avoid specifying internal representation
             # as much as possible
             self.assertEqual(len(actual), len(expected))
             for act, exp in zip(actual, expected):
                 act = np.asarray(act)
-                exp = np.asarray(exp, dtype=np.object_)
-                tm.assert_numpy_array_equal(act, exp)
+                exp = np.asarray(exp)
+                tm.assert_numpy_array_equal(act, exp, check_dtype=check_dtype)
 
         # level changing [w/o mutation]
         ind2 = self.index.set_levels(new_levels)
@@ -204,6 +204,31 @@ def assert_matching(actual, expected):
         assert_matching(ind2.levels, new_levels)
         assert_matching(self.index.levels, levels)
 
+        # illegal level changing should not change levels
+        # GH 13754
+        original_index = self.index.copy()
+        for inplace in [True, False]:
+            with assertRaisesRegexp(ValueError, "^On"):
+                self.index.set_levels(['c'], level=0, inplace=inplace)
+            assert_matching(self.index.levels, original_index.levels,
+                            check_dtype=True)
+
+            with assertRaisesRegexp(ValueError, "^On"):
+                self.index.set_labels([0, 1, 2, 3, 4, 5], level=0,
+                                      inplace=inplace)
+            assert_matching(self.index.labels, original_index.labels,
+                            check_dtype=True)
+
+            with assertRaisesRegexp(TypeError, "^Levels"):
+                self.index.set_levels('c', level=0, inplace=inplace)
+            assert_matching(self.index.levels, original_index.levels,
+                            check_dtype=True)
+
+            with assertRaisesRegexp(TypeError, "^Labels"):
+                self.index.set_labels(1, level=0, inplace=inplace)
+            assert_matching(self.index.labels, original_index.labels,
+                            check_dtype=True)
+
     def test_set_labels(self):
         # side note - you probably wouldn't want to use levels and labels
         # directly like this - but it is possible.