title: Setting MultiColumn as index has issues with index names
body: <p>Here is how I create my multi column table:</p>
  
  <pre><code>whatFields = ['mean', 'mom_2', 'n']
  groupbyFields = ['foo', 'bar']
  topFields = ['desc']*len(groupbyFields)
  topFields += ['price']*len(whatFields)
  topFields += ['units']*len(whatFields)
  bottomFields = groupbyFields + whatFields + whatFields
  resultsDf = pd.DataFrame(columns=pd.MultiIndex.from_arrays([topFields, bottomFields]))
  indexFields = [('desc', field) for field in groupbyFields]
  resultsDf.set_index(indexFields, inplace=True)
  </code></pre>
  
  <p>Here's the empty result:</p>
  
  <pre><code>Empty DataFrame
  Columns: [(price, mean), (price, mom_2), (price, n), (units, mean), (units, mom_2), (units, n)]
  Index: []
  
  &gt;&gt;&gt; resultsDf.index
  Out[2]: 
  MultiIndex(levels=[[], []],
             labels=[[], []],
             names=[('desc', 'foo'), ('desc', 'bar')])
  </code></pre>
  
  <p>However, after filling up, it looks like this:</p>
  
  <pre><code>                                     price            units           
                                        mean mom_2    n  mean mom_2    n
  (desc, foo) (desc, bar)                                  
  1500002071  4292                       NaN   NaN  NaN   NaN   NaN  NaN
              4246                       NaN   NaN  NaN   NaN   NaN  NaN
              342                        NaN   NaN  NaN   NaN   NaN  NaN
              104                        NaN   NaN  NaN   NaN   NaN  NaN
              4218                      2.59     0    1   NaN   NaN  NaN
  </code></pre>
  
  <p>the problem is that index fields have these weird names in tuple form, while columns have "proper" names now in the multi column shape.</p>
  
  <p>You might think this is because they're an index. No:</p>
  
  <pre><code>  (desc, foo) (desc, bar) price            units           
                                          mean mom_2    n  mean mom_2    n
  0  1500002071                     4292   NaN   NaN  NaN   NaN   NaN  NaN
  1  1500002071                     4246   NaN   NaN  NaN   NaN   NaN  NaN
  2  1500002071                      342   NaN   NaN  NaN   NaN   NaN  NaN
  3  1500002071                      104   NaN   NaN  NaN   NaN   NaN  NaN
  4  1500002071                     4218  2.59     0    1   NaN   NaN  NaN
  </code></pre>
  
  <p>Why is the index not following the columns in terms of multi layout? Ultimatively, I'd like to access the index simply via <code>foo</code> and <code>bar</code> (or real multi index, at least not this pseudo tuples).</p>
  
  <p>How could I achieve that? Is there a better way to generate my empty df to begin with?</p>