ERR: consistency in rolling on empty frames
xref https://github.com/pandas-dev/pandas/pull/15795/files#r108178445

I think we should just return an empty frame for [4]
```
In [4]: DataFrame().rolling('1s').sum()
ValueError: window must be an integer

In [5]: DataFrame().rolling(1).sum()
Out[5]: 
Empty DataFrame
Columns: []
Index: []
```

though this works.

```
In [7]: DataFrame(index=pd.DatetimeIndex([])).rolling(1).sum()
Out[7]: 
Empty DataFrame
Columns: []
Index: []

In [8]: DataFrame(index=pd.DatetimeIndex([])).rolling('1s').sum()
Out[8]: 
Empty DataFrame
Columns: []
Index: []
```