Change IntervalIndex set-ops error code type

doc/source/whatsnew/v0.23.0.txt

@@ -312,6 +312,7 @@ Other API Changes
 - Addition or subtraction of ``NaT`` from :class:`TimedeltaIndex` will return ``TimedeltaIndex`` instead of ``DatetimeIndex`` (:issue:`19124`)
 - :func:`DatetimeIndex.shift` and :func:`TimedeltaIndex.shift` will now raise ``NullFrequencyError`` (which subclasses ``ValueError``, which was raised in older versions) when the index object frequency is ``None`` (:issue:`19147`)
 - Addition and subtraction of ``NaN`` from a :class:`Series` with ``dtype='timedelta64[ns]'`` will raise a ``TypeError` instead of treating the ``NaN`` as ``NaT`` (:issue:`19274`)
+- Set operations (union, difference...) on :class:`IntervalIndex` with incompatible index types will now raise a ``TypeError`` rather than a ``ValueError`` (:issue:`19329`)
 
 .. _whatsnew_0230.deprecations:
 

pandas/core/indexes/interval.py

@@ -1152,12 +1152,17 @@ def insert(self, loc, item):
         new_right = self.right.insert(loc, right_insert)
         return self._shallow_copy(new_left, new_right)
 
-    def _as_like_interval_index(self, other, error_msg):
+    def _as_like_interval_index(self, other):
         self._assert_can_do_setop(other)
         other = _ensure_index(other)
-        if (not isinstance(other, IntervalIndex) or
-                self.closed != other.closed):
-            raise ValueError(error_msg)
+        if not isinstance(other, IntervalIndex):
+            msg = ('the other index needs to be an IntervalIndex too, but '
+                   'was type {}').format(other.__class__.__name__)
+            raise TypeError(msg)
+        elif self.closed != other.closed:
+            msg = ('can only do set operations between two IntervalIndex '
+                   'objects that are closed on the same side')
+            raise ValueError(msg)
         return other
 
     def _concat_same_dtype(self, to_concat, name):
@@ -1296,9 +1301,7 @@ def equals(self, other):
 
     def _setop(op_name):
         def func(self, other):
-            msg = ('can only do set operations between two IntervalIndex '
-                   'objects that are closed on the same side')
-            other = self._as_like_interval_index(other, msg)
+            other = self._as_like_interval_index(other)
 
             # GH 19016: ensure set op will not return a prohibited dtype
             subtypes = [self.dtype.subtype, other.dtype.subtype]

pandas/tests/indexes/interval/test_interval.py

@@ -934,12 +934,14 @@ def test_set_operation_errors(self, closed, op_name):
         set_op = getattr(index, op_name)
 
         # non-IntervalIndex
-        msg = ('can only do set operations between two IntervalIndex objects '
-               'that are closed on the same side')
-        with tm.assert_raises_regex(ValueError, msg):
+        msg = ('the other index needs to be an IntervalIndex too, but '
+               'was type Int64Index')
+        with tm.assert_raises_regex(TypeError, msg):
             set_op(Index([1, 2, 3]))
 
         # mixed closed
+        msg = ('can only do set operations between two IntervalIndex objects '
+               'that are closed on the same side')
         for other_closed in {'right', 'left', 'both', 'neither'} - {closed}:
             other = self.create_index(closed=other_closed)
             with tm.assert_raises_regex(ValueError, msg):