Question: I have a dataframe where the names of the columns are dates (Year-month) in the form of strings. How can I convert these names in datetime format?
I tried doing this:

```
new_cols = pd.to_datetime(df.columns)
df = df[new_cols]

```

but I get the error:

```
KeyError: "DatetimeIndex(
['2000-01-01', '2000-02-01',
 '2000-03-01', '2000-04-01',
 '2000-05-01', '2000-06-01', 
'2000-07-01', '2000-08-01',               
'2000-09-01', '2000-10-01',
'2015-11-01', '2015-12-01', 
'2016-01-01', '2016-02-01',
'2016-03-01', '2016-04-01', 
'2016-05-01', '2016-06-01',
'2016-07-01', '2016-08-01'],
dtype='datetime64[ns]', length=200, freq=None) not in index"

```

Thanks!

Answer: 
If select by `loc` columns values was not changed, so get `KeyError`.

So you need assign output to `columns`:

```
df.columns = pd.to_datetime(df.columns)

```

Sample:

```
cols = ['2000-01-01', '2000-02-01', '2000-03-01', '2000-04-01', '2000-05-01']
vals = np.arange(5)
df = pd.DataFrame(columns = cols, data=[vals])
print (df)
   2000-01-01  2000-02-01  2000-03-01  2000-04-01  2000-05-01
0           0           1           2           3           4

print (df.columns)
Index(['2000-01-01', '2000-02-01', '2000-03-01', '2000-04-01', '2000-05-01'], dtype='object')

df.columns = pd.to_datetime(df.columns)

print (df.columns)
DatetimeIndex(['2000-01-01', '2000-02-01', '2000-03-01', '2000-04-01',
               '2000-05-01'],
              dtype='datetime64[ns]', freq=None)

```

Also is possible convert to period:

```
print (df.columns)
Index(['2000-01-01', '2000-02-01', '2000-03-01', '2000-04-01', '2000-05-01'], dtype='object')

df.columns = pd.to_datetime(df.columns).to_period('M')

print (df.columns)
PeriodIndex(['2000-01', '2000-02', '2000-03', '2000-04', '2000-05'],
             dtype='period[M]', freq='M')

```
As an expansion to jezrael's answer, the original code will be trying to slice the df array by the array stored in new\_cols and store the result as df - but since those values don't exist in df yet it returns an error saying it can't find that index to slice by. 

As such you need to declare that you're changing the name of the columns, as in jezrael's answer.