Index.astype('category') does not work
It's easy to make a Series categorical by using `.astype('category')`, and this yields the same result as calling the constructor with `dtype='category'`.

The same call fails for Index:
```
s = pd.Series(['a', 'b', 'a'])
sc = pd.Series(['a', 'b', 'a'], dtype='category')
s.astype('category')
# 0    a
# 1    b
# 2    a
# dtype: category
# Categories (2, object): [a, b]

# # both ways yield the same result
sc.equals(s.astype('category'))
# True

# # For Index ...
t = pd.Index(s.values)
t
# Index(['a', 'b', 'a'], dtype='object')
# # ... the direct constructor works
tc = pd.Index(['a', 'b', 'a'], dtype='category')
# # ... but not the conversion
t.astype('category')
# TypeError: data type "category" not understood
```