BUG: Parse two date columns broken in read_csv with multiple headers
#### Problem description

As can be seen [here](http://stackoverflow.com/questions/42183926/pandas-read-csv-how-do-i-parse-two-columns-as-datetimes-in-a-hierarchically-ind/42185111#42185111), a `KeyError` is being thrown when when trying to merge two date columns from a `csv` with multiple header lines.

So this `csv` file:

```
X,,Y,,Z,
Date,Time,A,B,A,B
2017-01-21,01:57:49.390,0,1,2,3
2017-01-21,01:57:50.400,4,5,7,9
2017-01-21,01:57:51.410,3,2,4,1
```

Causes this line:

```python
pandas.read_csv('foo.csv', header=[0,1], parse_dates={'datetime': [0,1]})
```

to raise a `KeyError`

NOTE: I will be submitting a PR shortly.

#### Output of ``pd.show_versions()``

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.5.1.final.0
python-bits: 32
OS: Windows
OS-release: 7
machine: AMD64
processor: Intel64 Family 6 Model 69 Stepping 1, GenuineIntel
byteorder: little

pandas: 0.19.2
nose: 1.3.7
pip: 8.1.2
setuptools: 18.2
Cython: None
numpy: 1.12.0
dateutil: 2.6.0
pytz: 2016.6.1
</details>