Sample Data:

Week      Price
2011-31    1.58
2011-32    1.9
2011-33    1.9
2011-34    1.9

I have a dataframe like above and I wanna convert 'Week' column type from string to datetime.

My Code:

data['Date_Time'] = pd.to_datetime(data.Week, format='%Y-%W')
data = data.drop(['Week'], axis=1)
data.index = data.Date_Time

Error:

'ValueError: Cannot use '%W' or '%U' without day and year'

You need specify day of week by parameter %w:

data['Date_Time'] = pd.to_datetime(data.Week + '0', format='%Y-%W%w')
print (data)Week  Price  Date_Time
0  2011-31   1.58 2011-08-07
1  2011-32   1.90 2011-08-14
2  2011-33   1.90 2011-08-21
3  2011-34   1.90 2011-08-28

For DatetimeIndex use DataFrame.pop with rename:

data.index = pd.to_datetime(data.pop('Week') + '0', format='%Y-%W%w').rename('Date')
print (data)Price
Date             
2011-08-07   1.58
2011-08-14   1.90
2011-08-21   1.90
2011-08-28   1.90