title: Pandas add keys while concatenating dataframes at column level
body: <p>As per Pandas 0.19.2 documentation, I can provide <strong>keys</strong> argument to create a resulting multi-index DataFrame. An example (from pandas documents ) is :</p>
  
  <p><code>result = pd.concat(frames, keys=['x', 'y', 'z'])</code>
  <a href="https://i.stack.imgur.com/4u0Dn.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/4u0Dn.png" alt="Merge Dataframe- row multi-index"></a></p>
  
  <p>How would I concat the dataframe so that I can provide the keys at the <strong>column level</strong> instead of index level ?</p>
  
  <p>What I basically need is something like this :</p>
  
  <p><a href="https://i.stack.imgur.com/CjwAJ.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/CjwAJ.png" alt="Merge Dataframe - column multi-index"></a></p>
  
  <p>where df1 and df2 are to be concat. </p>