COMPAT: concat of PeriodIndex
https://github.com/pydata/pandas/blob/master/pandas/tseries/period.py#L920
`return Index(com._concat_compat(to_concat), name=name)`
now should reference `pandas.types.concat._concat_compat`

I _think_ this should probably fail - concat-ing a `PeriodIndex` with other index types?
