HDFStore - raising an exception when complevel > 0 and complib is None
#### Code Sample, a copy-pastable example if possible

```python
HDFStore = pd.HDFStore('mydata.ph5', mode='w', complevel=9)
```
#### Problem description
Hi,

It seems when `complib is None`, `pd.HDFStore` does not use any compression even though a user supplies `complevel > 0`. If there is no good default option for `complib`, then in my opinion, `HDFStore` should raise an exception when `(complib is None) and (complevel > 0)` instead. This is because clearly the user wants compression but it cannot be done - I think explicitly raising an exception is better than silently ignoring the option.



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

<details>
pd.show_versions()

INSTALLED VERSIONS
------------------
commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 62 Stepping 4, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None
LOCALE: None.None

pandas: 0.19.2
nose: 1.3.7
pip: 9.0.1
setuptools: 27.2.0
Cython: 0.24.1
numpy: 1.11.3
scipy: 0.18.1
statsmodels: 0.6.1
xarray: 0.9.1
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: 3.2.2
numexpr: 2.6.1
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
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.42.0
pandas_datareader: None

</details>
