Pandas exporting to Excel (xls, xlsx) with multilevel columns
Hello all,

I want collect few tables into the one with pandas. I use the code presented below:

``` python
import pandas as pd
import itertools
import types

df = None
for frame in ['x', 'y']:
    df_ = pd.read_excel(u'%s.xlsx' % frame)
    df_ = df_.set_index([u'time'])

    parameters = list(df_.columns)
    tuples = []
    for tup in itertools.product([frame,], parameters):
        tuples.append(tup)

    columns = pd.MultiIndex.from_tuples(tuples, names=[u'Frames',u'Parameters'])

    df_new = pd.DataFrame(columns=columns, index=df_.index)
    for par in parameters:
        df_new[frame, par] = df_[par]
    del df_

    if df is None:
        df = df_new
    else:
        df = pd.concat([df, df_new], axis=1)

df.to_excel('merged_xlsx.xlsx')
df.to_excel('merged_xls.xls')
```

Source data is `x.xlsx`
![x](https://cloud.githubusercontent.com/assets/2182222/10658681/887a8df8-78b2-11e5-9ee8-8fe3b6057c3a.png)

and `y.xlsx` files.
![y](https://cloud.githubusercontent.com/assets/2182222/10658680/88795dd4-78b2-11e5-9652-7a670ded97a0.png)

XLS engine works well (`merged_xls.xls`):
![merged_xls](https://cloud.githubusercontent.com/assets/2182222/10658677/885b90ec-78b2-11e5-9e0d-34f9acb6f3a1.png)

But something is wrong (cells merging) with XLSX engine (`merged_xlsx.xlsx`):
![merged_xlsx](https://cloud.githubusercontent.com/assets/2182222/10658678/885ba3b6-78b2-11e5-84fb-a60d9664b6f9.png)

Manual cells unmerging works in Excel:
![merged_xlsx_unmerged](https://cloud.githubusercontent.com/assets/2182222/10658679/88603084-78b2-11e5-82d9-6674c480810f.png)

Is it bug in XLSX pandas engine (openpyxl)? Or what is wrong in my code?

Versions: `python-2.7.10`, `pandas-0.17.0`, `openpyxl-2.3.0`.

P.S. This issue is copy of [my question on stackoverflow](http://stackoverflow.com/questions/33274716/pandas-exporting-to-excel-xls-xlsx-with-multilevel-columns). It was suggested as bug and was adviced to post here.
