BUG: Index name is not preserved during some conversions

[soupault]

The issue is existing name of Index is dropped during conversion to either TimedeltaIndex or DatetimeIndex.

In [42]: vec = ['01:02:03', '01:02:04']
In [43]: i = pd.Index(vec, name='label')
In [44]: i
Out[44]: Index(['01:02:03', '01:02:04'], dtype='object', name='label')

In [45]: pd.to_datetime(i)
Out[45]: DatetimeIndex(['2015-08-21 01:02:03', '2015-08-21 01:02:04'], dtype='datetime64[ns]', freq=None, tz=None)

In [46]: pd.to_timedelta(i)
Out[46]: TimedeltaIndex(['01:02:03', '01:02:04'], dtype='timedelta64[ns]', freq=None)

[soupault]

For to_timedelta:
Could add to_timedelta method to pandas/core/index.py.

Simplest solution is to add something like this to pandas/tseries/timedeltas.py:

elif isinstance(arg, ABCSeries):
    from pandas import Series
    values = _convert_listlike(arg.values, box=False, unit=unit)
    return Series(values, index=arg.index, name=arg.name, dtype='m8[ns]')
+elif isinstance(arg, ABCIndexClass):
+    from pandas import TimedeltaIndex
+    values = _convert_listlike(arg.values, box=box, unit=unit)
+    return TimedeltaIndex(values, name=arg.name)
elif is_list_like(arg):
    return _convert_listlike(arg, box=box, unit=unit)