Cannot unpickle data frame made with 0.19.2 after upgrade to 0.20.1
Hello,

#### Problem description

When we create a data frame with pandas &le; 0.19.2 and pickle it (using pickle.dump), it is not possible to unpickle it using pandas 0.20.1.

```python
# Using pandas 0.19.2
import pandas as pd
import pickle as pkl
data = pd.DataFrame({'x': [1, 2]})
pkl.dump(data, open("data_pd_0.19.2.pkl", "wb"))
```
```python
# After upgrade to pandas 0.20.1
import pandas as pd
import pickle as pkl
pkl.load(open("data_pd_0.19.2.pkl", "rb"))
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
ModuleNotFoundError: No module named 'pandas.indexes'
```

#### First analysis

- It seems that ```pandas.indexes``` has been refactored to ```pandas.core.indexes```.
- I don't know if there are other such incompatible changes

#### Proposal

It would be great to have:
- A deprecation warning when unpicking old data frame
- Load old data frame supported but automatically converted to the new format, so that we can upgrade by pickling the unpickled data frames


Thanks a lot for your help,
Best regards.