Fixed #38419 - BUG: set_index screws up the dtypes on empty DataFrames

Fixes #38419 - BUG: set_index screws up the dtypes on empty DataFrames
- [ test_set_index_empty_dataframe] tests added / passed


Hello @jordi-crespo! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:



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

##### Comment last updated at 2020-12-13 12:05:16 UTC thanks @jordi-crespo 