Index with dtype int32
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd
pd.Index(np.array([0,1], dtype=np.int32), dtype=np.int32)

Out:
Int64Index([0, 1], dtype='int64')
```
#### Problem description

I want to make a DataFrame with Index that has size of int32. Can't do it.
A discussion here: https://stackoverflow.com/questions/44090944/how-to-change-index-dtype-of-pandas-dataframe-to-int32

#### Expected Output

Index with dtype int32. It will use 4 bytes instead of 8 bytes.

#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 2.7.12.final.0
python-bits: 64
OS: Darwin
OS-release: 15.6.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: en_US.UTF-8
LANG: en_US.UTF-8
LOCALE: None.None

pandas: 0.20.1
pytest: 2.9.2
pip: 8.1.2
setuptools: 34.3.2
Cython: 0.24.1
numpy: 1.12.0
scipy: 0.18.1
xarray: None
IPython: 5.1.0
sphinx: 1.4.6
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.6.1
blosc: None
bottleneck: 1.1.0
tables: 3.2.3.1
numexpr: 2.6.1
feather: None
matplotlib: 1.5.3
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.3
lxml: 3.6.4
bs4: 4.5.1
html5lib: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
s3fs: None
pandas_gbq: None
pandas_datareader: None

</details>
