Added test_set_index_dtypes_on_empty_DataFrames to check dtypes after…

[IngErnestoAlvarez]

… using set_index on a DataFrame with empty Series that have dtype

• closes BUG: set_index screws up the dtypes on empty DataFrames #38419
• tests added / passed test_set_index_dtypes_on_empty_DataFrames
• passes black pandas
• passes git diff upstream/master -u -- "*.py" | flake8 --diff
• whatsnew entry. Added a test to check that dtypes don't change after using set_index on a DataFrame with empty Series

[pep8speaks]

Hello @IngErnestoAlvarez! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

There are currently no PEP 8 issues detected in this Pull Request. Cheers! 🍻

Comment last updated at 2020-12-12 21:35:33 UTC

[arw2019]

@IngErnestoAlvarez sorry to do this but closing as we already have a PR for this issue which was submitted first.

Thanks so much for opening the PR in the first place. We would of course love to have you contribute to resolve other tickets! Issues filed under the Contributions Welcome are a good place to look, and let us know if you need help at any point!