ENH: Implement PeriodIndex.intersection without object-dtype cast
PeriodIndex._simple_new is not as simple as it should be.  In order to get it to have the appropriate signature we need to implement some of the set methods correctly.  This is the first of those.
> How does the ASV for period.Indexing.time_intersection look?

For the length=1000 index in the benchmark we take a hit of about 37%.  When I change the benchmark to be length=10**5 it is no change. > > How does the ASV for period.Indexing.time_intersection look?
> 
> For the length=1000 index in the benchmark we take a hit of about 37%. When I change the benchmark to be length=10**5 it is no change.

interesting, i though this would be faster. ok