You can use:
#if you need copy of column date to index
df.set_index(df['date'], inplace=True)
print df
date cmte_id trans_typ entity_typ state employer \
date
2007-08-15 2007-08-15 C00112250 24K ORG DC NaN
2007-09-26 2007-09-26 C00119040 24K CCM FL NaN
2007-09-26 2007-09-26 C00119040 24K CCM MD NaN
2011-02-25 2011-02-25 C00478404 24K COM MN NaN
2011-02-01 2011-02-01 C00140855 24K CCM DC NaN
2011-02-01 2011-02-01 C00140855 24K CCM DC NaN
2011-02-22 2011-02-22 C00140855 24K CCM MD NaN
2011-02-28 2011-02-28 C00093963 24K CCM ND NaN
occupation amount fec_id cand_id
date
2007-08-15 NaN 2000 C00431569 P00003392
2007-09-26 NaN 1000 C00367680 H2FL05127
2007-09-26 NaN 1000 C00140715 H2MD05155
2011-02-25 NaN 2400 C00326629 H8MN06047
2011-02-01 NaN 1000 C00373464 H2OH17109
2011-02-01 NaN 1000 C00289983 H4KY01040
2011-02-22 NaN 2500 C00140715 H2MD05155
2011-02-28 NaN 1000 C00474619 H0ND00135
#convert column trans_typ to category
#column date is datetime, no converted
df['trans_typ'] = df['trans_typ'].astype('category')
print df
date cmte_id trans_typ entity_typ state employer \
date
2007-08-15 2007-08-15 C00112250 24K ORG DC NaN
2007-09-26 2007-09-26 C00119040 24K CCM FL NaN
2007-09-26 2007-09-26 C00119040 24K CCM MD NaN
2011-02-25 2011-02-25 C00478404 24K COM MN NaN
2011-02-01 2011-02-01 C00140855 24K CCM DC NaN
2011-02-01 2011-02-01 C00140855 24K CCM DC NaN
2011-02-22 2011-02-22 C00140855 24K CCM MD NaN
2011-02-28 2011-02-28 C00093963 24K CCM ND NaN
occupation amount fec_id cand_id
date
2007-08-15 NaN 2000 C00431569 P00003392
2007-09-26 NaN 1000 C00367680 H2FL05127
2007-09-26 NaN 1000 C00140715 H2MD05155
2011-02-25 NaN 2400 C00326629 H8MN06047
2011-02-01 NaN 1000 C00373464 H2OH17109
2011-02-01 NaN 1000 C00289983 H4KY01040
2011-02-22 NaN 2500 C00140715 H2MD05155
2011-02-28 NaN 1000 C00474619 H0ND00135
print df.dtypes
date datetime64[ns]
cmte_id object
trans_typ category
entity_typ object
state object
employer float64
occupation float64
amount int64
fec_id object
cand_id object
dtype: object
Or:
#if you DONT need copy of column date to index
df.set_index('date', inplace=True)
print df
cmte_id trans_typ entity_typ state employer occupation \
date
2007-08-15 C00112250 24K ORG DC NaN NaN
2007-09-26 C00119040 24K CCM FL NaN NaN
2007-09-26 C00119040 24K CCM MD NaN NaN
2011-02-25 C00478404 24K COM MN NaN NaN
2011-02-01 C00140855 24K CCM DC NaN NaN
2011-02-01 C00140855 24K CCM DC NaN NaN
2011-02-22 C00140855 24K CCM MD NaN NaN
2011-02-28 C00093963 24K CCM ND NaN NaN
amount fec_id cand_id
date
2007-08-15 2000 C00431569 P00003392
2007-09-26 1000 C00367680 H2FL05127
2007-09-26 1000 C00140715 H2MD05155
2011-02-25 2400 C00326629 H8MN06047
2011-02-01 1000 C00373464 H2OH17109
2011-02-01 1000 C00289983 H4KY01040
2011-02-22 2500 C00140715 H2MD05155
2011-02-28 1000 C00474619 H0ND00135
df['trans_typ'] = df['trans_typ'].astype('category')
print df
cmte_id trans_typ entity_typ state employer occupation \
date
2007-08-15 C00112250 24K ORG DC NaN NaN
2007-09-26 C00119040 24K CCM FL NaN NaN
2007-09-26 C00119040 24K CCM MD NaN NaN
2011-02-25 C00478404 24K COM MN NaN NaN
2011-02-01 C00140855 24K CCM DC NaN NaN
2011-02-01 C00140855 24K CCM DC NaN NaN
2011-02-22 C00140855 24K CCM MD NaN NaN
2011-02-28 C00093963 24K CCM ND NaN NaN
amount fec_id cand_id
date
2007-08-15 2000 C00431569 P00003392
2007-09-26 1000 C00367680 H2FL05127
2007-09-26 1000 C00140715 H2MD05155
2011-02-25 2400 C00326629 H8MN06047
2011-02-01 1000 C00373464 H2OH17109
2011-02-01 1000 C00289983 H4KY01040
2011-02-22 2500 C00140715 H2MD05155
2011-02-28 1000 C00474619 H0ND00135
print df.dtypes
cmte_id object
trans_typ category
entity_typ object
state object
employer float64
occupation float64
amount int64
fec_id object
cand_id object
dtype: object
print df.index
DatetimeIndex(['2007-08-15', '2007-09-26', '2007-09-26', '2011-02-25',
'2011-02-01', '2011-02-01', '2011-02-22', '2011-02-28'],
dtype='datetime64[ns]', name=u'date', freq=None)