BUG: np.inf now causes Index to upcast from int to float
State: closed

 - [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. 

Labels:
name: Bug
name: Indexing
description: Related to indexing on series/frames, not to indexes themselves

Comments:
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@@            Coverage Diff             @@
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  Files         161      161              
  Lines       49290    49294       +4     
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- Hits        44851    44848       -3     
- Misses       4439     4446       +7
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| Flag | Coverage Δ | |
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|---|---|---|
| [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: |
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| [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: |

------

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Nice job with splitting up the tests!  LGTM!

cc @jreback 
minor doc issue.
Thanks @Erotemic !