Keyerror if set_index list
Sample:

```
import pandas as pd
import numpy as np

df = pd.DataFrame({'A':[1,2],
                    'B':[3,4],
                    'C':[5,6]}, index=['a','b'])

print (df)
   A  B  C
a  1  3  5
b  2  4  6
```

This works nice:

```
L = ['c','d']
df = df.set_index(np.array(L))
print (df)
   A  B  C
c  1  3  5
d  2  4  6

df = df.set_index(pd.Index(L))
print (df)
   A  B  C
c  1  3  5
d  2  4  6
```

But if check [docs](http://pandas.pydata.org/pandas-docs/stable/generated/pandas.DataFrame.set_index.html) this can works too, but  **KeyError**:

```
df = df.set_index(L)
KeyError: 'c'
```

It is also in [SO](http://stackoverflow.com/questions/38421170/cant-set-index-of-a-pandas-data-frame-getting-keyerror).

```
print (pd.show_versions())
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.1.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 42 Stepping 7, GenuineIntel
byteorder: little
LC_ALL: None
LANG: sk_SK

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.1
setuptools: 20.3
Cython: 0.23.4
numpy: 1.10.4
scipy: 0.17.0
statsmodels: None
xarray: None
IPython: 4.1.2
sphinx: 1.3.1
patsy: 0.4.0
dateutil: 2.5.1
pytz: 2016.2
blosc: None
bottleneck: 1.0.0
tables: 3.2.2
numexpr: 2.5
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 0.9.4
xlwt: 1.0.0
xlsxwriter: 0.8.4
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.12
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.39.0
pandas_datareader: None
None
```
