title: Converting PeriodIndex to DateTimeIndex?
body: <p>I have a question regarding converting a tseries.period.PeriodIndex into a datetime.</p>
  
  <p>I have a DataFrame which looks like this:</p>
  
  <pre>               colors      country
  time_month 
  
  2010-09         xxx        xxx
  2010-10         xxx        xxx
  2010-11         xxx        xxx
  ...
  </pre>
  
  <p>time_month is the index.</p>
  
  <pre><code>type(df.index)
  </code></pre>
  
  <p>returns</p>
  
  <pre><code>class 'pandas.tseries.period.PeriodIndex'
  </code></pre>
  
  <p>When I try to use the df for a VAR analysis (<a href="http://statsmodels.sourceforge.net/devel/vector_ar.html#vector-autoregressions-tsa-vector-ar" rel="noreferrer">http://statsmodels.sourceforge.net/devel/vector_ar.html#vector-autoregressions-tsa-vector-ar</a>), </p>
  
  <pre><code>VAR(mdata)
  </code></pre>
  
  <p>returns: </p>
  
  <pre><code>Given a pandas object and the index does not contain dates
  </code></pre>
  
  <p>So apparently, Period is not recognized as a datetime. Now, my question is how to convert the index (time_month) into a datetime the VAR analysis can work with?</p>
  
  <pre><code>df.index = pandas.DatetimeIndex(df.index)
  </code></pre>
  
  <p>returns</p>
  
  <pre><code>cannot convert Int64Index-&gt;DatetimeIndex
  </code></pre>
  
  <p>Thank for your help!</p>