I am using xtable with R Markdown and knitr to produce .tex files that I call with \\input{}. Works great, but I have not figured out how to create multicolumns like the one
Assuming the form of the table is the same across runs (i.e., only the numbers are changing), my suggestion would be to use the only.contents argument to print.xtable and code the multi-column headers in by hand. To the best of my knowledge xtable is not capable of doing multi-column cells itself.