Using a Pandas Series/DataFrame with permutation_test_score results in error. #5696

import pandas as pd
import numpy as np
from sklearn.linear_model import LinearRegression
from sklearn.cross_validation import permutation_test_score

X = pd.DataFrame(np.random.randint(10, size=(10,5)))
y = pd.Series(np.random.randint(10, size=(10,)))

reg = LinearRegression()

permutation_test_score(reg, X, y)

KeyError                                  Traceback (most recent call last)
<ipython-input-5-76791d923d7c> in <module>()
     10 reg = LinearRegression()
     11 
---> 12 permutation_test_score(reg, X, y)

/Users/stijntonk/anaconda/lib/python3.4/site-packages/sklearn/cross_validation.py in permutation_test_score(estimator, X, y, cv, n_permutations, n_jobs, labels, random_state, verbose, scoring)
   1695     # We clone the estimator to make sure that all the folds are
   1696     # independent, and that it is pickle-able.
-> 1697     score = _permutation_test_score(clone(estimator), X, y, cv, scorer)
   1698     permutation_scores = Parallel(n_jobs=n_jobs, verbose=verbose)(
   1699         delayed(_permutation_test_score)(

/Users/stijntonk/anaconda/lib/python3.4/site-packages/sklearn/cross_validation.py in _permutation_test_score(estimator, X, y, cv, scorer)
   1543     avg_score = []
   1544     for train, test in cv:
-> 1545         estimator.fit(X[train], y[train])
   1546         avg_score.append(scorer(estimator, X[test], y[test]))
   1547     return np.mean(avg_score)

/Users/stijntonk/anaconda/lib/python3.4/site-packages/pandas/core/frame.py in __getitem__(self, key)
   1906         if isinstance(key, (Series, np.ndarray, Index, list)):
   1907             # either boolean or fancy integer index
-> 1908             return self._getitem_array(key)
   1909         elif isinstance(key, DataFrame):
   1910             return self._getitem_frame(key)

/Users/stijntonk/anaconda/lib/python3.4/site-packages/pandas/core/frame.py in _getitem_array(self, key)
   1950             return self.take(indexer, axis=0, convert=False)
   1951         else:
-> 1952             indexer = self.ix._convert_to_indexer(key, axis=1)
   1953             return self.take(indexer, axis=1, convert=True)
   1954 

/Users/stijntonk/anaconda/lib/python3.4/site-packages/pandas/core/indexing.py in _convert_to_indexer(self, obj, axis, is_setter)
   1119                 mask = check == -1
   1120                 if mask.any():
-> 1121                     raise KeyError('%s not in index' % objarr[mask])
   1122 
   1123                 return _values_from_object(indexer)

KeyError: '[5 6 7 8 9] not in index'