Failures with pytest 6.0.0rc1
https://dev.azure.com/pandas-dev/pandas/_build/results?buildId=39140&view=logs&j=a3a13ea8-7cf0-5bdb-71bb-6ac8830ae35c&t=add65f64-6c25-5783-8fd6-d9aa1b63d9d4


```
=================================== FAILURES ===================================
____ TestStringMethods.test_api_per_method[index-empty0-get_dummies-object] ____
[gw0] linux -- Python 3.7.6 /home/vsts/miniconda3/envs/pandas-dev/bin/python

        copy=False,
        name=None,
        verify_integrity: bool = True,
        _set_identity: bool = True,
    ):
    
        # compat with Index
        if name is not None:
            names = name
        if levels is None or codes is None:
            raise TypeError("Must pass both levels and codes")
        if len(levels) != len(codes):
            raise ValueError("Length of levels and codes must be the same.")
        if len(levels) == 0:
>           raise ValueError("Must pass non-zero number of levels/codes")
E           ValueError: Must pass non-zero number of levels/codes

pandas/core/indexes/multi.py:271: ValueError
```

In the failing cases we dynamically add a an xfail marker: https://github.com/pandas-dev/pandas/blob/f477a0e8146e3f249d2a5c08031020c15c1ecd95/pandas/tests/test_strings.py#L266-L268. Reported at https://github.com/pytest-dev/pytest/issues/7486.

For now we can pin pytest.