Wrong index type from groupby on an empty dataframe using user-defined agg func
#### A small, complete example of the issue

``` python
import pandas as pd

df = pd.DataFrame(columns=['a', 'b'])
df2 = df.groupby('a').agg({
    'a': {'max_a': lambda x: x.max()},
    'b': {'count_b': 'count'}
})
print(df2.index)
```
#### Expected Output

``` python
Index([], dtype='object', name='a') 
```

(This is the sort of index you would get if it wasn't an empty dataframe, or if the aggregation function was a cythoned builtin string like 'max').
#### Actual Output

``` python
RangeIndex(start=0, stop=0, step=1)
```

Nondeterministic in Python3 (sometimes the expected result, sometimes not, with the same code, on different runs).

Deterministically wrong in Python2 (provided the outer agg dictionary is ordered so that the user-defined function agg appears first in the list of keys).
#### Output of `pd.show_versions()`

<details>
## INSTALLED VERSIONS

commit: None
python: 3.4.3.final.0
python-bits: 64
OS: Darwin
OS-release: 15.5.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: None
LANG: en_GB.UTF-8

pandas: 0.18.1
nose: None
pip: 6.0.8
setuptools: 12.2
Cython: 0.24.1
numpy: 1.11.1
scipy: None
statsmodels: None
xarray: None
IPython: None
sphinx: None
patsy: None
dateutil: 2.5.3
pytz: 2016.6.1
blosc: None
bottleneck: None
tables: None
numexpr: None
matplotlib: 1.5.3
openpyxl: None
xlrd: None
xlwt: None
xlsxwriter: None
lxml: None
bs4: None
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: None
pymysql: None
psycopg2: None
jinja2: 2.7.3
boto: None
pandas_datareader: None
</details>
