Inconsistent treatment of categories in multi-level unstack
#### Code Sample, a copy-pastable example if possible

```python
import pandas as pd
df = pd.DataFrame({'Date': pd.date_range(start='2016/1/1', periods=3, freq='W'), 
                   'Station':['Kings Cross', 'Sydney', 'Newtown'], 
                   'Hours': ["1PM", "2PM", "3PM"], 
                   'Exit':[10, 30, 50], 'Entry':[0, 60, 20]})
df.Station = df.Station.astype('category')
df.Hours = df.Hours.astype('category')

df1= (df.set_index(['Date','Hours', 'Station'])[['Entry', 'Exit']].
                 unstack(['Hours', 'Station']).
                   stack(['Hours', 'Station'], dropna=False).
           reset_index())
print(df1.info())

assert df.Hours.dtype == df1.Hours.dtype, "Hours dtype has changed" 
assert df.Station.dtype == df1.Station.dtype, "Station dtype has changed" 

```
#### Problem description
Hours and Station are  categories. After the stack/unstack  Hours remains a category but Station becomes an  object.  

If I switch the order of the Station and Hours in unstack the Station remains categorical and Hours becomes an object. 

#### Expected Output
Hours and Station both remain categorical (prefered) or both become the underlying type of.

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

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Linux
OS-release: 4.4.41-36.55.amzn1.x86_64
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.19.2
nose: 1.3.7
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.25.2
numpy: 1.11.3
scipy: 0.18.1
statsmodels: 0.6.1
xarray: None
IPython: 5.1.0
sphinx: 1.5.1
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2016.10
blosc: None
bottleneck: 1.2.0
tables: 3.3.0
numexpr: 2.6.1
matplotlib: 1.5.3
openpyxl: 2.4.1
xlrd: 1.0.0
xlwt: 1.2.0
xlsxwriter: 0.9.6
lxml: 3.7.2
bs4: 4.5.3
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.1.4
pymysql: None
psycopg2: 2.6.2 (dt dec pq3 ext lo64)
jinja2: 2.9.4
boto: 2.45.0
pandas_datareader: None
</details>
