Regression: to_csv and multiindex columns with header kw
This used to work (October 2012), but doesn't anymore:

``` python
from pandas import DataFrame
import numpy as np
import StringIO
a = ["a","b","a","b","a","b","a","b","a","b","a","b"]
b = ["c","d","e","c","d","e","c","d","e","c","d","e"]
c = [1,2,3,4,5,6,7,8,9,10,11,12]
d = list(reversed(c))
df = DataFrame({"a":a, "b":b, "c":c, "d":d})
_agg_funs = [np.mean, np.std, np.min, np.max]
groupby_variables = ["a","b"]
df_grouped = df.groupby(groupby_variables, as_index=True).agg(_agg_funs)
output = StringIO.StringIO()
df_grouped.to_csv(output, header=[var + "_" + agg for (var, agg) in df_grouped.columns])
index = output.getvalue().split("\n")[0].split(",")
expected_index = groupby_variables + [var + "_" + agg for (var, agg) in df_grouped.columns]
print(index == expected_index) # This was true in October 2012!
print(index)
print(expected_index) 

False
['', '', 'c', 'c', 'c', 'c', 'd', 'd', 'd', 'd']
['a', 'b', 'c_mean', 'c_std', 'c_amin', 'c_amax', 'd_mean', 'd_std', 'd_amin', 'd_amax']
```

Probably related to #3575
