BUG/API: PeriodIndex.unique returns ndarray
Currently, `Index.unique` returns `ndarray` but `DatetimeIndex.unique` returns `DatetimeIndex` to preserve datetime information. I think `PeriodIndex.unique` should also return `PeriodIndex` (currently it returns `ndarray`).

I'd like to ask which is better to fix all `Index.unique` to return `Index` for consistency, or only fix `PeriodIndex`. 

```
didx = pd.DatetimeIndex([datetime.datetime(2014, 1, 1), datetime.datetime(2014, 2, 1)])
didx.unique()
# <class 'pandas.tseries.index.DatetimeIndex'>
# [2014-01-01, 2014-02-01]

pidx = pd.PeriodIndex(['2014-01', '2014-02'], freq='M')
pidx.unique()
# [528 529]
type(pidx.unique())
# <type 'numpy.ndarray'>
```
