df = pd.util.testing.makeDataFrame() df.index.name = 'name' df.set_index(df.index) df.set_index(df.index).index.names 

from statsmodels.datasets import grunfeld data = sm.datasets.grunfeld.load_pandas().data data = data.set_index(['firm', 'year']) data.set_index(data.index).index.names 

[~/] [33]: pd.version.version [33]: '0.13.1-254-g150f323'