#check type
type(df.index)
'pandas.core.index.Float64Index'

#change type to unicode
if not isinstance(df.index, unicode):
    df.index = df.index.astype(unicode)

TypeError: Setting <class 'pandas.core.index.Float64Index'> dtype to anything other than float64 or object is not supported

# for Python 2
df.index = df.index.map(unicode)

# for Python 3 (the unicode type does not exist and is replaced by str)
df.index = df.index.map(str)