BUG: Set dtypes of new columns when stacking (#36991)
- [x] closes #36991
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [x] whatsnew entry

Hello @maroth96! 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 2021-03-10 01:29:17 UTC I extracted a function for stacking the column index. Let me know if you prefer it inlined. Otherwise, the same is possible for the index (lines 714--732). thanks @maroth96 very nice! keep em coming!