BUG: is StataReader supposed to assign the index?
This is the example in io.rst for Stata (in current master)
coming from PR #3270 and issue #1512

```
In [5]: from pandas.io.stata import StataWriter

In [6]: df = DataFrame(randn(10,2),columns=list('AB'))

In [7]: writer = StataWriter('stata.dta',df)

In [8]: writer.write_file()
```

I am not sure if you have enough information saved to know that this needs a
`df.set_index('index')`
?

```
In [10]: from pandas.io.stata import StataReader

In [11]: reader = StataReader('stata.dta')

In [12]: reader.data()
Out[12]: 
   index         A         B
0      0  0.818436 -0.616332
1      1 -0.673509  2.209445
2      2 -0.074915  0.444409
3      3  0.984456 -1.397691
4      4 -0.402488  0.884691
5      5  0.407234  0.499808
6      6 -0.041578  0.724288
7      7 -0.110134  0.707406
8      8  0.986992  1.281154
9      9 -1.491163 -0.686034
```
