Creating an empty MultiIndex

Using pd.MultiIndex.from_tuples may be more straightforward.

import pandas as pd
ind = pd.MultiIndex.from_tuples([], names=(u'one', u'two', u'three'))
df = pd.DataFrame(columns=['alpha', 'beta'], index=ind)
df.loc[('apple','banana','cherry'), :] = [4, 3]
df

                      alpha beta
one     two     three       
apple   banana  cherry    4    3

Using pd.MultiIndex.from_arrays allows for a slightly more concise solution when defining the index explicitly:

import pandas as pd
ind = pd.MultiIndex.from_arrays([[]] * 3, names=(u'one', u'two', u'three'))
df = pd.DataFrame(columns=['alpha', 'beta'], index=ind)
df.loc[('apple','banana','cherry'), :] = [4, 3]

                     alpha  beta
one   two    three              
apple banana cherry      4     3

Another solution which is maybe a little simpler is to use the function set_index:

>>> import pandas as pd
>>> df = pd.DataFrame(columns=['one', 'two', 'three', 'alpha', 'beta'])
>>> df = df.set_index(['one', 'two', 'three'])
>>> df
Empty DataFrame
Columns: [alpha, beta]
Index: []
>>> df.loc[('apple','banana','cherry'),:] = [0.1, 0.2]
>>> df
                    alpha beta
one   two    three            
apple banana cherry   0.1  0.2

The solution is to leave out the labels. This works fine for me:

>>> my_index = pd.MultiIndex(levels=[[],[],[]],
                             labels=[[],[],[]],
                             names=[u'one', u'two', u'three'])
>>> my_index
MultiIndex(levels=[[], [], []],
           labels=[[], [], []],
           names=[u'one', u'two', u'three'])
>>> my_columns = [u'alpha', u'beta']
>>> df = pd.DataFrame(index=my_index, columns=my_columns)
>>> df
Empty DataFrame
Columns: [alpha, beta]
Index: []
>>> df.loc[('apple','banana','cherry'),:] = [0.1, 0.2]
>>> df
                    alpha beta
one   two    three            
apple banana cherry   0.1  0.2

Hope that helps!

For Pandas Version >= 0.25.1: The keyword labels has been replaced with codes