When a DataFrame is merged with an empty dataframe, it was creating an incorrect index for the resulting dataframe. Fix for it 
- [ ] closes #xxxx
- [ ] tests added / passed
- [ ] passes `black pandas`
- [ ] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry


In the current fix, if any dataframe is empty, a index is set explicitly using the set_index function