false warning when using to_sql with a dataframe using MultiIndex
Hi, 
I get a warning that confused me, and in my opinion is wrong. 
See code - that should produce warning with further comments.  
## INSTALLED VERSIONS

commit: None
python: 2.7.9.final.0
python-bits: 64
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 42 Stepping 7, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.16.1
nose: 1.3.4
Cython: 0.22
numpy: 1.9.2
scipy: 0.15.1
statsmodels: 0.6.1
IPython: 3.0.0
sphinx: None
patsy: 0.3.0
dateutil: 2.4.0
pytz: 2015.2
bottleneck: None
tables: 3.1.1
numexpr: 2.4
matplotlib: 1.4.3
openpyxl: None
xlrd: 0.9.3
xlwt: None
xlsxwriter: 0.7.1
lxml: None
bs4: 4.3.2
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 0.9.9
pymysql: None
psycopg2: None

`````` python
import pandas as pd
import sqlite3 as sql

con = sql.connect("Temp_db.db")

df = pd.DataFrame(columns=[["FIRST", "FIRST", "SECOND", "SECOND"], ["ONE", "TWO", "ONE", "TWO"]])  # no space in any column

# following 'to_sql' produces warning:
# UserWarning: The spaces in these column names will not be changed. In pandas versions < 0.14, spaces were converted to underscores.
# However, there are no spaces (see above)
df.to_sql("tmp_table", con=con, if_exists="replace")

# refering to page: http://pydoc.net/Python/pandas/0.14.0/pandas.io.sql/
import re

columns = list(map(str, df.columns))
pat = re.compile('\s+')

print columns 
# OUTPUT: ["('FIRST', 'ONE')", "('FIRST', 'TWO')", "('SECOND', 'ONE')", "('SECOND', 'TWO')"]
# ('FIRST',X'ONE'): At position X of a tuple is a whitespace that falsly produces the warning: 

print any(map(pat.search, columns)) #true

# quick and dirty fix
columns = [i.replace("', '", "','") for i in columns]
print columns
print any(map(pat.search, columns)) #false
```python
``````
