BUG: HDFStore TypeError: decoding Unicode is not supported
On latest master `0.12.0-315-ga99b3be`, when I try to select a table from an HDFStore, I get a Unicode Error

```
In [4]: df = store.select('monthly/data/m1998_01')
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-4-67c3fabe2905> in <module>()
----> 1 df = store.select('monthly/data/m1998_01')

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in select(self, key, where, start, stop, columns, iterator, chunksize, auto_close, **kwargs)
    579         where = _ensure_term(where)
    580         s = self._create_storer(group)
--> 581         s.infer_axes()
    582 
    583         # what we are actually going to do for a chunk

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in infer_axes(self)
   2001         if s is None:
   2002             return False
-> 2003         self.get_attrs()
   2004         return True
   2005 

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in get_attrs(self)
   2740         t = self.table
   2741         self.index_axes = [a.infer(t)
-> 2742                                          for a in self.indexables if a.is_an_indexable]
   2743         self.values_axes = [a.infer(t)
   2744                                          for a in self.indexables if not a.is_an_indexable]

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in indexables(self)
   2793 
   2794             self._indexables.extend(
-> 2795                 [f(i, c) for i, c in enumerate(self.attrs.values_cols)])
   2796 
   2797         return self._indexables

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in f(i, c)
   2790                 if c in dc:
   2791                     klass = DataIndexableCol
-> 2792                 return klass.create_for_block(i=i, name=c, pos=base_pos + i, version=self.version)
   2793 
   2794             self._indexables.extend(

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in create_for_block(cls, i, name, cname, version, **kwargs)
   1537             pass
   1538 
-> 1539         return cls(name=name, cname=cname, **kwargs)
   1540 
   1541     def __init__(self, values=None, kind=None, typ=None,

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/io/pytables.py in __init__(self, values, kind, typ, cname, data, block, **kwargs)
   1544             values=values, kind=kind, typ=typ, cname=cname, **kwargs)
   1545         self.dtype = None
-> 1546         self.dtype_attr = u("%s_dtype" % self.name)
   1547         self.set_data(data)
   1548 

/Users/tom/Envs/statsmodels/lib/python2.7/site-packages/pandas/pandas/compat/__init__.py in u(s)
    189 
    190     def u(s):
--> 191         return unicode(s, "unicode_escape")
    192 
    193 

TypeError: decoding Unicode is not supported
```

I'm still trying to whittle down where this behavior changed, but at least as of `a99b3be`, it worked.  I'm going to go through commits changing HDFStore, but maybe someone knows exactly where this might be from?

I'll also try to come up with a minimal example that reproduces.  Simple ones aren't doing it which is a good thing I guess.
