DEPR: rename to _consolidate and create deprecation warning
 - [x] closes #15483 
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master | flake8 --diff``
 - [x] whatsnew entry

Test output:
```
running: pytest --skip-slow --skip-network pandas
============================= test session starts ==============================
platform linux2 -- Python 2.7.13, pytest-3.0.6, py-1.4.32, pluggy-0.4.0
rootdir: /home/sfoo/pandas, inifile: setup.cfg
collected 11882 items / 4 skipped

 10147 passed, 1662 skipped, 77 xfailed, 2084 pytest-warnings in 407.18 seconds  
```