Pickle incompatibility between 0.25 and 1.0 when saving a MultiIndex dataframe
This seems to have caused the problem described here:

https://stackoverflow.com/questions/61641738/pandas-1-0-cannot-pickle-load-dict-containing-dataframe-with-multiindex

which I'm now also experiencing. I dumped a MultiIndex dataframe containing ndarrays to a pickle on disk under pandas 0.25.x in Python 3.6, and now I'm getting:

`AttributeError: Can't get attribute 'FrozenNDArray' on <module 'pandas.core.indexes.frozen'`

when trying to load it in pandas 1.0.3 (still on Python 3.6). Any suggestions/workarounds? Should I instead open up a new issue?

This solved issue seems related, but is for Python 2.7:

https://github.com/pandas-dev/pandas/issues/31988

This comment in the original rationale for getting rid of `FrozenNDArray` mentions `pandas.compat.pickle_compat.py`, which seems relevant:

https://github.com/pandas-dev/pandas/issues/9031#issuecomment-306659873

_Originally posted by @mspacek in https://github.com/pandas-dev/pandas/pull/29335#issuecomment-628138718_