ENH: set_index drops index name
Index

```
df = pd.util.testing.makeDataFrame()
df.index.name = 'name'
df.set_index(df.index)
df.set_index(df.index).index.names
```

MultiIndex

```
from statsmodels.datasets import grunfeld
data = sm.datasets.grunfeld.load_pandas().data
data = data.set_index(['firm', 'year'])
data.set_index(data.index).index.names
```

Version

```
[~/]
[33]: pd.version.version
[33]: '0.13.1-254-g150f323'
```
