BUG: np.inf now causes Index to upcast from int to float
 - [x] closes #16957
 - [x] tests added / passed
 - [x] passes ``git diff upstream/master -u -- "*.py" | flake8 --diff``
 - [x] whatsnew entry

Previously the following code would cause an OverflowError

```python
df = pd.DataFrame(columns=[0])
df.loc[0] = 0
df.loc[np.inf] = 1
```

This patch catches the exception and allows the `pd.Int64Index` / `pd.UInt64Index` to upcast itself into a `pd.Float64Index`. 

Additionally, when I was writing tests for this patch I noticed 

```python 
np.inf in pd.Int64Index([1, 2, 3])
```

would also cause an OverflowError. I also patched this as well, and now it correctly returns False. 

------- 

I had trouble running tests on my local machine, so I'll wait for the travis checks. 

I'm also unsure the whatsnew entry is in the correct format. Let me know if that needs to be changed. 
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=h1) Report
> Merging [#16996](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/0bd871fb9634e8b73efcc1aeabb93961fbc43d53?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/16996/graphs/tree.svg?token=eZ4WkYLtcO&src=pr&height=150&width=650)](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #16996      +/-   ##
==========================================
- Coverage   90.99%   90.98%   -0.02%     
==========================================
  Files         161      161              
  Lines       49290    49294       +4     
==========================================
- Hits        44851    44848       -3     
- Misses       4439     4446       +7
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.75% <100%> (ø)` | :arrow_up: |
| #single | `40.19% <33.33%> (-0.07%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/base.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9iYXNlLnB5) | `95.92% <100%> (+0.11%)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/config\_init.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvY29uZmlnX2luaXQucHk=) | `95.86% <0%> (-0.14%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.76% <0%> (-0.1%)` | :arrow_down: |
| [pandas/io/parsers.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnNlcnMucHk=) | `95.43% <0%> (ø)` | :arrow_up: |
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `92.31% <0%> (+0.01%)` | :arrow_up: |
| [pandas/core/series.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc2VyaWVzLnB5) | `94.91% <0%> (+0.01%)` | :arrow_up: |
| [pandas/core/sparse/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc3BhcnNlL2ZyYW1lLnB5) | `94.24% <0%> (+0.02%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=footer). Last update [0bd871f...7310c36](https://codecov.io/gh/pandas-dev/pandas/pull/16996?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Nice job with splitting up the tests!  LGTM!

cc @jreback  minor doc issue. Thanks @Erotemic !