BUG: sparse empty construction buggy
From [SO](http://stackoverflow.com/questions/30108778/sparse-dataframe-returns-attributeerror/30109645#30109645)

```
trains = np.arange(100)
tresholds = [10, 20, 30, 40, 50, 60]
tuples = []
for i in trains:
    for j in tresholds:
        tuples.append((i, j))

index = pd.MultiIndex.from_tuples(tuples, names=['trains', 'tresholds'])
matrix = np.empty((len(index), len(trains)))
matrix.fill(np.nan)
df = pd.DataFrame(matrix, index=index, columns=trains, dtype=float)
```

Fails

```
df.to_sparse()
```

Ok

```
df.iloc[0] = 0
df.to_sparse()
```
