Fix text in error message, A leftover from #993

[mzuehlke]

I've spotted this wrong error message.
In my opinion this is too small to justify an entry in whats-new.rst.

[jhamman]

Thanks for the PR. It looks fine to me. The failing tests do not seem to be related but I'll let @shoyer check on that before we merge.

[shoyer]

Yes, we're good here. The test failures are due to upstream pandas bug: pandas-dev/pandas#16896

[shoyer]

Thanks!