ENH: Index Pandas Dtype
Hello,

Is it possible to set pandas dtype-like to index.dtype

**Pandas Dtypes Examples**
```python
pandas.Int64Dtype(), pandas.Int8Dtype()
```

**Expected result**
```python
df.index = pd.Series(df['X'].astype('Int64'))

Index([1, 2, 3, 4, 5], dtype='Int64', name='X')
# instead of
Index([1, 2, 3, 4, 5], dtype='object', name='X')
```

**Workaround**
Im forcing change in dtype convertion (it expects to have not nullable values)
```python
INDEX_TYPE_MAP = {
    pandas.Int8Dtype(): numpy.int8,
    pandas.Int16Dtype(): numpy.int16,
    pandas.Int32Dtype(): numpy.int32,
    pandas.Int64Dtype(): numpy.int64,
    pandas.Float32Dtype(): numpy.float32,
    pandas.Float64Dtype(): numpy.float64
}
```

Br
Nicolas