diff --git a/pandas/tests/data/categorical_0_14_1.pickle b/pandas/io/tests/data/categorical_0_14_1.pickle
similarity index 100%
rename from pandas/tests/data/categorical_0_14_1.pickle
rename to pandas/io/tests/data/categorical_0_14_1.pickle
diff --git a/pandas/tests/data/categorical_0_15_2.pickle b/pandas/io/tests/data/categorical_0_15_2.pickle
similarity index 100%
rename from pandas/tests/data/categorical_0_15_2.pickle
rename to pandas/io/tests/data/categorical_0_15_2.pickle
diff --git a/pandas/io/tests/test_pickle.py b/pandas/io/tests/test_pickle.py
index 55c14fee9e3ed..6019144d59698 100644
--- a/pandas/io/tests/test_pickle.py
+++ b/pandas/io/tests/test_pickle.py
@@ -231,6 +231,44 @@ def python_unpickler(path):
                         result = python_unpickler(path)
                         self.compare_element(result, expected, typ)
 
+    def test_pickle_v0_14_1(self):
+
+        # we have the name warning
+        # 10482
+        with tm.assert_produces_warning(UserWarning):
+            cat = pd.Categorical(values=['a', 'b', 'c'],
+                                 categories=['a', 'b', 'c', 'd'],
+                                 name='foobar', ordered=False)
+        pickle_path = os.path.join(tm.get_data_path(),
+                                   'categorical_0_14_1.pickle')
+        # This code was executed once on v0.14.1 to generate the pickle:
+        #
+        # cat = Categorical(labels=np.arange(3), levels=['a', 'b', 'c', 'd'],
+        #                   name='foobar')
+        # with open(pickle_path, 'wb') as f: pickle.dump(cat, f)
+        #
+        tm.assert_categorical_equal(cat, pd.read_pickle(pickle_path))
+
+    def test_pickle_v0_15_2(self):
+        # ordered -> _ordered
+        # GH 9347
+
+        # we have the name warning
+        # 10482
+        with tm.assert_produces_warning(UserWarning):
+            cat = pd.Categorical(values=['a', 'b', 'c'],
+                                 categories=['a', 'b', 'c', 'd'],
+                                 name='foobar', ordered=False)
+        pickle_path = os.path.join(tm.get_data_path(),
+                                   'categorical_0_15_2.pickle')
+        # This code was executed once on v0.15.2 to generate the pickle:
+        #
+        # cat = Categorical(labels=np.arange(3), levels=['a', 'b', 'c', 'd'],
+        #                   name='foobar')
+        # with open(pickle_path, 'wb') as f: pickle.dump(cat, f)
+        #
+        tm.assert_categorical_equal(cat, pd.read_pickle(pickle_path))
+
 
 if __name__ == '__main__':
     nose.runmodule(argv=[__file__, '-vvs', '-x', '--pdb', '--pdb-failure'],
diff --git a/pandas/tests/test_categorical.py b/pandas/tests/test_categorical.py
index 20405e31caac4..1edd9443fe356 100644
--- a/pandas/tests/test_categorical.py
+++ b/pandas/tests/test_categorical.py
@@ -4419,44 +4419,6 @@ def test_dt_accessor_api_for_categorical(self):
             invalid.dt
         self.assertFalse(hasattr(invalid, 'str'))
 
-    def test_pickle_v0_14_1(self):
-
-        # we have the name warning
-        # 10482
-        with tm.assert_produces_warning(UserWarning):
-            cat = pd.Categorical(values=['a', 'b', 'c'],
-                                 categories=['a', 'b', 'c', 'd'],
-                                 name='foobar', ordered=False)
-        pickle_path = os.path.join(tm.get_data_path(),
-                                   'categorical_0_14_1.pickle')
-        # This code was executed once on v0.14.1 to generate the pickle:
-        #
-        # cat = Categorical(labels=np.arange(3), levels=['a', 'b', 'c', 'd'],
-        #                   name='foobar')
-        # with open(pickle_path, 'wb') as f: pickle.dump(cat, f)
-        #
-        self.assert_categorical_equal(cat, pd.read_pickle(pickle_path))
-
-    def test_pickle_v0_15_2(self):
-        # ordered -> _ordered
-        # GH 9347
-
-        # we have the name warning
-        # 10482
-        with tm.assert_produces_warning(UserWarning):
-            cat = pd.Categorical(values=['a', 'b', 'c'],
-                                 categories=['a', 'b', 'c', 'd'],
-                                 name='foobar', ordered=False)
-        pickle_path = os.path.join(tm.get_data_path(),
-                                   'categorical_0_15_2.pickle')
-        # This code was executed once on v0.15.2 to generate the pickle:
-        #
-        # cat = Categorical(labels=np.arange(3), levels=['a', 'b', 'c', 'd'],
-        #                   name='foobar')
-        # with open(pickle_path, 'wb') as f: pickle.dump(cat, f)
-        #
-        self.assert_categorical_equal(cat, pd.read_pickle(pickle_path))
-
     def test_concat_categorical(self):
         # See GH 10177
         df1 = pd.DataFrame(
diff --git a/setup.py b/setup.py
index 650357588570a..c77ca4d9e60fe 100755
--- a/setup.py
+++ b/setup.py
@@ -589,6 +589,7 @@ def pxd(name):
                                   'tests/data/legacy_msgpack/*/*.msgpack',
                                   'tests/data/*.csv*',
                                   'tests/data/*.dta',
+                                  'tests/data/*.pickle',
                                   'tests/data/*.txt',
                                   'tests/data/*.xls',
                                   'tests/data/*.xlsx',
@@ -605,8 +606,7 @@ def pxd(name):
                                   'tests/data/html_encoding/*.html',
                                   'tests/json/data/*.json'],
                     'pandas.tools': ['tests/data/*.csv'],
-                    'pandas.tests': ['data/*.pickle',
-                                     'data/*.csv'],
+                    'pandas.tests': ['data/*.csv'],
                     'pandas.tests.formats': ['data/*.csv'],
                     'pandas.tests.indexes': ['data/*.pickle'],
                     'pandas.tseries.tests': ['data/*.pickle',