I have the following dataframe:
lb = [(\'A\',\'a\',1), (\'A\',\'a\',2), (\'A\',\'a\',3), (\'A\',\'b\',1), (\'A\',\'b\',2), (\'A\',\'b\',3), (\'B\',\'a\',1),
Seems you must not use the xs-function with more than a single key. It might be that there exists a fancier slicing, but I would keep it as simple as possible and produce a partial multiindex object that fits my needs:
cols = df.columns
thirdlvl = cols.get_level_values('third')
partialcols = [col for col, third in zip(cols, thirdlvl) if third in [2,3]]
With these columns, you get the partial data frame you want:
print df[partialcolumns]
first A B
second a b a b
third 2 3 2 3 2 3 2 3
0 1.103063 1.036151 -0.018996 1.436792 -0.956119 1.587688 2.262837 -1.059619
1 0.950664 1.847895 -1.172043 0.752676 -0.091956 -0.431509 -0.653317 -0.545843
2 0.165655 -0.180710 -1.844222 -0.836338 1.687806 -0.469707 -0.374222 0.132809
3 -0.275194 0.141292 1.021046 -0.010747 1.725614 0.530589 0.106327 0.138661
4 0.371840 0.455063 -2.643567 0.406322 -0.717277 0.667969 0.660701 -1.324643
EDIT: The simple piece of code below will also find the right columns, of course
partialcols = [col for col in cols if col[2] in [2,3]]