title: Change dataframe column names from string format to datetime
body: <p>I have a dataframe where the names of the columns are dates (Year-month) in the form of strings. How can I convert these names in datetime format?
  I tried doing this:</p>
  
  <pre><code>new_cols = pd.to_datetime(df.columns)
  df = df[new_cols]
  </code></pre>
  
  <p>but I get the error:</p>
  
  <pre><code>KeyError: "DatetimeIndex(
  ['2000-01-01', '2000-02-01',
   '2000-03-01', '2000-04-01',
   '2000-05-01', '2000-06-01', 
  '2000-07-01', '2000-08-01',               
  '2000-09-01', '2000-10-01',
  '2015-11-01', '2015-12-01', 
  '2016-01-01', '2016-02-01',
  '2016-03-01', '2016-04-01', 
  '2016-05-01', '2016-06-01',
  '2016-07-01', '2016-08-01'],
  dtype='datetime64[ns]', length=200, freq=None) not in index"
  </code></pre>
  
  <p>Thanks!</p>