ImportError: No module named index when load a pickle file generated by old version Pandas
#### Code Sample, a copy-pastable example if possible

```python
import pickle

pickle.load(open('./20170130T000000_20170202T000000_done.pkl', 'rb'))

---------------------------------------------------------------------------
ImportError                               Traceback (most recent call last)
<ipython-input-2-4ccd85bbbf3f> in <module>()
----> 1 pickle.load(open('./20170130T000000_20170202T000000_done.pkl', 'rb'
      2 ))

/Users/qingkaikong/miniconda2/lib/python2.7/pickle.pyc in load(file)
   1382 
   1383 def load(file):
-> 1384     return Unpickler(file).load()
   1385 
   1386 def loads(str):

/Users/qingkaikong/miniconda2/lib/python2.7/pickle.pyc in load(self)
    862             while 1:
    863                 key = read(1)
--> 864                 dispatch[key](self)
    865         except _Stop, stopinst:
    866             return stopinst.value

/Users/qingkaikong/miniconda2/lib/python2.7/pickle.pyc in load_global(self)
   1094         module = self.readline()[:-1]
   1095         name = self.readline()[:-1]
-> 1096         klass = self.find_class(module, name)
   1097         self.append(klass)
   1098     dispatch[GLOBAL] = load_global

/Users/qingkaikong/miniconda2/lib/python2.7/pickle.pyc in find_class(self, module, name)
   1128     def find_class(self, module, name):
   1129         # Subclasses may override this
-> 1130         __import__(module)
   1131         mod = sys.modules[module]
   1132         klass = getattr(mod, name)

ImportError: No module named index

```
#### Problem description
I generated a pickle file with dataframe on one machine using pandas version 0.17.0, but when I try to load the pickle file on another machine with pandas version 0.20.0, I got the above errors. If I use pandas 0.17.0 to open the file, it works fine. I thought it should backward compatible, it seems not.

Currently, the problem is I have many of these pickle files generated by the 0.17.0 version that over a long time, is there a way to address the issue?

Thanks in advance. 
