Unable to store category data in panels
#### Create a dataframe with a variable of dtype category and then convert to a panel

``` python
# A dataframe with a category variable
df = pd.DataFrame({ 'day' : [1,2,3], 'month' : ['a','b','c'], 'dow' : ['mon','mon','thur' ]})
df = df.set_index(['day','month'])
df.dow = df.dow.astype('category')

# Transform to panel and check the dtype
df.to_panel().dtypes
#### Expected Output
dow    category
dtype: object
```
#### Output of `pd.show_versions()`

<details>
## INSTALLED VERSIONS

commit: None
python: 3.5.2.final.0
python-bits: 64
OS: Darwin
OS-release: 15.6.0
machine: x86_64
processor: i386
byteorder: little
LC_ALL: en_US.UTF-8
LANG: en_US.UTF-8

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 23.0.0
Cython: 0.24
numpy: 1.11.1
scipy: 0.17.1
statsmodels: 0.6.1
xarray: None
IPython: 4.2.0
sphinx: 1.4.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.1.0
tables: 3.2.2
numexpr: 2.6.0
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 1.0.0
xlwt: 1.1.2
xlsxwriter: 0.9.2
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.40.0
pandas_datareader: None
# The  variable was converted from a category to an object when put into a panel

dow    object
dtype: object
</details>
