set_index/reindex bugs with time indices
```
[14]: pd.version.version
[14]: '0.13.1-426-ge19b2eb'
```

Noticed these. This one's minor. `set_index` seems to drop frequency information for DatetimeIndex. I'm not sure what other metadata is ignored.

```
import statsmodels.api as sm
import pandas as pd
index = pd.PeriodIndex(start='1959Q1', end='2009Q3')
dta = sm.datasets.macrodata.load_pandas().data

assert dta.set_index(index.to_timestamp()).index.freq == index.to_timestamp().freq
```

This one is less minor. `set_index` and `reindex` are broken for a PeriodIndex. Treats it as regular integer index I guess. Not sure if it ever worked, though I don't recall running into this before.

```
dta.set_index(index).head()

dta.reindex(index).head()
```
