BUG: Concatenation of DFs with all NaT columns and TZ-aware ones breaks #12396
- [X] closes #12396
- [X] tests added / passed
- [X] passes `git diff upstream/master | flake8 --diff`
- [X] whatsnew entry
- `concat` to handle tz-aware all NaT/mixed cases
- added unit tests

Could do

```
if self.is_null and not getattr(self.block, 'is_categorical',
                                None):
    num_elements = np.prod(self.shape)
    if isinstance(empty_dtype, DatetimeTZDtype):
        # handle timezone-aware all NaT cases
        return DatetimeIndex([fill_value] * num_elements,
                             dtype=empty_dtype)
    else:
        missing_arr = np.empty(self.shape, dtype=empty_dtype)
        if num_elements:
            # ...
            missing_arr.fill(fill_value)
        return missing_arr
```
 @hcontrast see what you can do here. This involves cleaning up some code and making it more generic to handle the extension dtypes. lmk if you get stuck. 
 Ok. Will have to wait until the weekend though
 I modified some things in  #12702

pls update/rebase when that's merged
 Rebased on top of master. Having trouble running tests locally though
 sorry, meant here. can you rebase/update?
 Updated the tests, but the mixed tz-/non-tz-aware cases are now breaking again:

``` python
======================================================================
ERROR: test_concat_NaT_dataframes_all_NaT_axis_0 (pandas.tools.tests.test_merge.TestConcatenate)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/.../dev/pandas/pandas/tools/tests/test_merge.py", line 2606, in test_concat_NaT_dataframes_all_NaT_axis_0
    result = pd.concat([first, second], axis=0)
  File "/.../dev/pandas/pandas/tools/merge.py", line 836, in concat
    return op.get_result()
  File "/.../dev/pandas/pandas/tools/merge.py", line 1024, in get_result
    concat_axis=self.axis, copy=self.copy)
  File "/.../dev/pandas/pandas/core/internals.py", line 4544, in concatenate_block_managers
    for placement, join_units in concat_plan]
  File "/.../dev/pandas/pandas/core/internals.py", line 4641, in concatenate_join_units
    for ju in join_units]
  File "/.../dev/pandas/pandas/core/internals.py", line 4907, in get_reindexed_values
    missing_arr = np.empty(self.shape, dtype=empty_dtype)
TypeError: data type not understood
```

where

``` python
# pandas/tools/tests/test_merge.py:2601

# one side timezone-aware
dtype = DatetimeTZDtype('ns', tz='UTC')
first = pd.DataFrame([[pd.NaT], [pd.NaT]], dtype=dtype)

result = pd.concat([first, second], axis=0)
```

Looks like accidental/eager upcasting on closer inspection

```
block:  DatetimeTZBlock: slice(0, 1, 1), 1 x 2, dtype: datetime64[ns, UTC]
is_datetime_tz:  True
empty dtype:  datetime64[ns, UTC]
block:  DatetimeBlock: slice(0, 1, 1), 1 x 1, dtype: datetime64[ns]
is_datetime_tz:  False
empty dtype:  datetime64[ns, UTC]
```

The second block is regular datetime but gets passed a tz-aware empty value, hence triggering the wrong case.
 ok I just pushed a change where we moved all of the concat stuff together (now in `pandas/types/concat.py`, was mostly from `core/common.py`).

use this to handle the path

```
com.is_extension_type(empty_dtype)
True
```
 Thanks. I've applied that fix, only outstanding issue is the mixed Series-DF case, which doesn't preserve the dtype information correctly:

```
FAIL: test_concat_NaT_series_dataframe_all_NaT (pandas.tools.tests.test_merge.TestConcatenate)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/.../dev/pandas/pandas/tools/tests/test_merge.py", line 2696, in test_concat_NaT_series_dataframe_all_NaT
    assert_frame_equal(result, expect, check_dtype=True)
  File "/.../dev/pandas/pandas/util/testing.py", line 1166, in assert_frame_equal
    obj='DataFrame.iloc[:, {0}]'.format(i))
  File "/.../dev/pandas/pandas/util/testing.py", line 1026, in assert_series_equal
    assert_attr_equal('dtype', left, right)
  File "/.../dev/pandas/pandas/util/testing.py", line 804, in assert_attr_equal
    left_attr, right_attr)
  File "/.../dev/pandas/pandas/util/testing.py", line 915, in raise_assert_detail
    raise AssertionError(msg)
AssertionError: Attributes are different

Attribute "dtype" are different
[left]:  object
[right]: datetime64[ns]

```

``` python
    def test_concat_NaT_series_dataframe_all_NaT(self):
        # GH 12396

        # non-timezone aware
        first = pd.Series([pd.NaT, pd.NaT])
        second = pd.DataFrame([[pd.Timestamp('2015/01/01')],
                               [pd.Timestamp('2016/01/01')]])

        expect = pd.DataFrame([pd.NaT, pd.NaT, second.iloc[0, 0],
                               second.iloc[1, 0]], index=[0, 1, 0, 1])

        result = pd.concat([first, second])
        assert_frame_equal(result, expect)

        # one side timezone-aware
        dtype = DatetimeTZDtype('ns', tz='UTC')
        first = first.astype(dtype)
        result = pd.concat([first, second])
        assert_frame_equal(result, expect, check_dtype=True)
        self.assertEqual(result.dtypes.iloc[0], second.dtypes[0])

        # both sides timezone-aware
        second = second.apply(lambda x: x.astype(dtype))

        result = pd.concat([first, second])
        assert_frame_equal(result, expect, check_dtype=True)
        self.assertEqual(result.dtypes.iloc[0], second.dtypes[0])
```
 that last already seems to work
 Might be due to the patch then
 can you rebase / update
 updated
 ## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/12403?src=pr) is **84.14%**

> Merging [#12403](https://codecov.io/gh/pydata/pandas/pull/12403?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will increase coverage by **+<.01%**

``` diff
@@             master     #12403   diff @@
==========================================
  Files           137        137          
  Lines         50287      50288     +1   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          42311      42313     +2   
+ Misses         7976       7975     -1   
  Partials          0          0          
```
1. File `...das/tseries/index.py` (not in diff) was modified. [more](https://codecov.io/gh/pydata/pandas/commit/10406dfa330d6c8f4f5f983bde239777686d60a1/changes?src=pr#70616E6461732F747365726965732F696E6465782E7079) 
   - Misses `-1` 
   - Partials `0` 
   - Hits `+1`

> Powered by [Codecov](https://codecov.io?src=pr). Last updated by [af7bdd3...10406df](https://codecov.io/gh/pydata/pandas/compare/af7bdd3883c8d61e9d9388d3aa699930eee7fff8...10406dfa330d6c8f4f5f983bde239777686d60a1)
 ok (this is the original issue)

```
In [1]: df1 = pd.DataFrame([[pd.NaT], [pd.NaT]])

In [2]: df2 = pd.DataFrame([[pd.Timestamp('2015/01/01', tz='UTC')], [pd.Timestamp('2016/01/01', tz='UTC')]])

In [4]: pd.concat([df1, df2])
Out[4]: 
                          0
0                       NaT
1                       NaT
0 2015-01-01 00:00:00+00:00
1 2016-01-01 00:00:00+00:00

In [5]: pd.concat([df1, df2]).dtypes
Out[5]: 
0    datetime64[ns, UTC]
dtype: object
```

This is incorrect; we are coercing to object (correct), but the `NaT` are getting incorrectly corced to `nan` here.

```
In [6]: df2 = pd.DataFrame([[pd.Timestamp('2015/01/01', tz='UTC')], [pd.Timestamp('2016/01/01', tz='US/Eastern')]])

In [7]: pd.concat([df1, df2]).dtypes
Out[7]: 
0    object
dtype: object

In [8]: pd.concat([df1, df2])
Out[8]: 
                           0
0                        NaN
1                        NaN
0  2015-01-01 00:00:00+00:00
1  2016-01-01 00:00:00-05:00
```
 @hcontrast can you update. only small fix I think.
 Added test case for this, indeed still breaking
 Can't actually get the test to break. This should break but doesn't

``` python
        first = pd.DataFrame([[pd.NaT], [pd.NaT]])
        second = pd.DataFrame([[pd.Timestamp('2015/01/01', tz='UTC')],
                               [pd.Timestamp('2016/01/01', tz='US/Eastern')]])

        expect = pd.DataFrame([pd.NaT, pd.NaT, second.iloc[0, 0],
                               second.iloc[1, 0]], index=[0, 1, 0, 1])

        result = pd.concat([first, second], axis=0)
        assert_frame_equal(result, expect)
        print expect
        print result
```

gives

```
                           0
0                        NaT
1                        NaT
0  2015-01-01 00:00:00+00:00
1  2016-01-01 00:00:00-05:00
                           0
0                        NaN
1                        NaN
0  2015-01-01 00:00:00+00:00
1  2016-01-01 00:00:00-05:00
```
 This is a tricky one; we have this flag to test exactness (so do this for now).

```
In [27]: tm.assert_frame_equal(result, expect, check_datetimelike_compat=True)
---------------------------------------------------------------------------
AssertionError                            Traceback (most recent call last)
<ipython-input-27-441a8feab35d> in <module>()
----> 1 tm.assert_frame_equal(result, expect, check_datetimelike_compat=True)

/Users/jreback/pandas/pandas/util/testing.pyc in assert_frame_equal(left, right, check_dtype, check_index_type, check_column_type, check_frame_type, check_less_precise, check_names, by_blocks, check_exact, check_datetimelike_compat, check_categorical, check_like, obj)
   1268                 check_datetimelike_compat=check_datetimelike_compat,
   1269                 check_categorical=check_categorical,
-> 1270                 obj='DataFrame.iloc[:, {0}]'.format(i))
   1271 
   1272 

/Users/jreback/pandas/pandas/util/testing.pyc in assert_series_equal(left, right, check_dtype, check_index_type, check_series_type, check_less_precise, check_names, check_exact, check_datetimelike_compat, check_categorical, obj)
   1131         else:
   1132             assert_numpy_array_equal(left.get_values(), right.get_values(),
-> 1133                                      check_dtype=check_dtype)
   1134     else:
   1135         _testing.assert_almost_equal(left.get_values(), right.get_values(),

/Users/jreback/pandas/pandas/util/testing.pyc in assert_numpy_array_equal(left, right, strict_nan, check_dtype, err_msg, obj)
   1034     # compare shape and values
   1035     if not array_equivalent(left, right, strict_nan=strict_nan):
-> 1036         _raise(left, right, err_msg)
   1037 
   1038     if check_dtype:

/Users/jreback/pandas/pandas/util/testing.pyc in _raise(left, right, err_msg)
   1028             msg = '{0} values are different ({1} %)'\
   1029                 .format(obj, np.round(diff, 5))
-> 1030             raise_assert_detail(obj, msg, left, right)
   1031 
   1032         raise AssertionError(err_msg)

/Users/jreback/pandas/pandas/util/testing.pyc in raise_assert_detail(obj, message, left, right)
    983 [left]:  {2}
    984 [right]: {3}""".format(obj, message, left, right)
--> 985     raise AssertionError(msg)
    986 
    987 

AssertionError: numpy array are different

numpy array values are different (50.0 %)
[left]:  [nan, nan, 2015-01-01 00:00:00+00:00, 2016-01-01 00:00:00-05:00]
[right]: [NaT, NaT, 2015-01-01 00:00:00+00:00, 2016-01-01 00:00:00-05:00]
```

@sinhrks you think we should be checking for this by default? (I forgot why I added this, IIRC maybe for stata tests or something)
 Or we should change `assert_numpy_array_equal` to use `strict_nan=True`. Not sure how many tests are relying on this. 
 @hcontrast can you update
 can you rebase and update
 can you rebase & update
 can you rebase / update?
 closing, but pls reopen / comment if you can continue
 this is almost there .....
 Want to knock this one out in conjunction with #18447. Just one question, what's the general desired behavior for missing data in concatenations? Should existing NaTs and nans always remain as they are, and otherwise use whatever the fill value is for the block for any new missing data created by the concatenation? nan is always by type
eg NaT for daetimelile and nan otherwise

the tests look pretty good here go ahead and open a new PR