TST: some unclosed files in parser testing?
https://travis-ci.org/pandas-dev/pandas/jobs/223491099

```
..................sys:1: ResourceWarning: unclosed file <_io.TextIOWrapper name=0 mode='r' encoding='UTF-8'>
sys:1: ResourceWarning: unclosed file <_io.TextIOWrapper name=1 mode='w' encoding='UTF-8'>
sys:1: ResourceWarning: unclosed file <_io.TextIOWrapper name=0 mode='r' encoding='UTF-8'>
sys:1: ResourceWarning: unclosed file <_io.TextIOWrapper name=1 mode='w' encoding='UTF-8'>
```