Pickle error: No module named 'pandas.core.categorical' #918

import openml
dataset = openml.datasets.get_dataset(40536)

---------------------------------------------------------------------------
ModuleNotFoundError                       Traceback (most recent call last)
<ipython-input-18-ddb30cada139> in <module>
      1 import openml
----> 2 dataset = openml.datasets.get_dataset(40536)
      3 X, y, categorical_indicator, _ = dataset.get_data(
      4   dataset_format='dataframe',
      5   target=dataset.default_target_attribute

~/anaconda3/lib/python3.7/site-packages/openml/datasets/functions.py in get_dataset(dataset_id, download_data, version, error_if_multiple)
    528 
    529     dataset = _create_dataset_from_description(
--> 530         description, features, qualities, arff_file
    531     )
    532     return dataset

~/anaconda3/lib/python3.7/site-packages/openml/datasets/functions.py in _create_dataset_from_description(description, features, qualities, arff_file)
   1021         data_file=arff_file,
   1022         features=features,
-> 1023         qualities=qualities,
   1024     )
   1025 

~/anaconda3/lib/python3.7/site-packages/openml/datasets/dataset.py in __init__(self, name, description, format, data_format, dataset_id, version, creator, contributor, collection_date, upload_date, language, licence, url, default_target_attribute, row_id_attribute, ignore_attribute, version_label, citation, tag, visibility, original_data_url, paper_url, update_comment, md5_checksum, data_file, features, qualities, dataset)
    181 
    182         if data_file is not None:
--> 183             self.data_pickle_file = self._create_pickle_in_cache(data_file)
    184         else:
    185             self.data_pickle_file = None

~/anaconda3/lib/python3.7/site-packages/openml/datasets/dataset.py in _create_pickle_in_cache(self, data_file)
    404             with open(data_pickle_file, "rb") as fh:
    405                 try:
--> 406                     data, categorical, attribute_names = pickle.load(fh)
    407                 except EOFError:
    408                     # The file is likely corrupt, see #780.

ModuleNotFoundError: No module named 'pandas.core.categorical'