Error storing cateogory values in HDFStore: NotImplementedError: cannot store a category dtype
Hi,

I'm having problems storing a dataframe with categorical columns as well some float64 and datetime64 columns into a HDFStore. 

The docs seems to suggest that you can store category values in HDF5 since `pandas v0.15.2` [here](https://pandas-docs.github.io/pandas-docs-travis/io.html#io-hdf5-categorical), but I got a `NotImplementedError` with my data and the code below. 

Did some googling but couldn't find much on this topic. Is this a bug or am I doing something wrong here? From the error message it seems to be related something that is not yet implemented? 

Environment:
Anaconda 2.4.1, Python 2.7.11
Pandas 0.17.1
PyTables 3.2.2

My DataFrame looks like this:

```
quotes.info()
output:
<class 'pandas.core.frame.DataFrame'>
Int64Index: 6295150 entries, 0 to 1474363
Data columns (total 12 columns):
price         float64
broker        category
g_spread      float64
date          datetime64[ns]
```

When I tried to store it in a HDFStore I got a **`NotImplementedError: cannot store a category dtype`** error message. Here is what I did:

```
test_store = pd.HDFStore('z:/pydata/test.h5', mode='w', format='table')
test_store.put('quotes', quotes)
```

The error trace is as follows:

```
---------------------------------------------------------------------------
NotImplementedError                       Traceback (most recent call last)
<ipython-input-39-57832b6474fe> in <module>()
    ----> 1 test_store.put('quotes', quotes)

C:\Developer\Anaconda2\lib\site-packages\pandas\io\pytables.pyc in put(self, key, value, format, append, **kwargs)
    812             format = get_option("io.hdf.default_format") or 'fixed'
    813         kwargs = self._validate_format(format, kwargs)
--> 814         self._write_to_group(key, value, append=append, **kwargs)
    815 
    816     def remove(self, key, where=None, start=None, stop=None):

C:\Developer\Anaconda2\lib\site-packages\pandas\io\pytables.pyc in _write_to_group(self, key, value, format, index, append, complib, encoding, **kwargs)
   1250 
   1251         # write the object
-> 1252         s.write(obj=value, append=append, complib=complib, **kwargs)
   1253 
   1254         if s.is_table and index:

C:\Developer\Anaconda2\lib\site-packages\pandas\io\pytables.pyc in write(self, obj, **kwargs)
   2787             # I have no idea why, but writing values before items fixed #2299
   2788             blk_items = data.items.take(blk.mgr_locs)
-> 2789             self.write_array('block%d_values' % i, blk.values, items=blk_items)
   2790             self.write_index('block%d_items' % i, blk_items)
   2791 

C:\Developer\Anaconda2\lib\site-packages\pandas\io\pytables.pyc in write_array(self, key, value, items)
   2498 
   2499         if com.is_categorical_dtype(value):
-> 2500             raise NotImplementedError("cannot store a category dtype")
   2501 
   2502         if not empty_array:

NotImplementedError: cannot store a category dtype
```
