BUG: parsing multi-column headers in read_csv (GH6051)
closes #6051 

Bug: `mangle_dupe_cols` cannot work while the header is a list. 

Originally, `has_mi_columns` will be set as 1 while the header is a list. And the `mangle_dupe_cols` things would not work when `has_mi_columns` == 1. 

This pull request is to 
1. for the list with single element, for example [0], the `has_mi_columns` will be set as 0, and the header will do the original `mangle_dupe_cols` things as the header is a single integer.
2. for the list with more than one element, append the sequence number in the last element of the duplicated multi-column

For example

```
Male,Male,Male,Male,Male,Female,Female
A,B,B,B,C,D,D
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
```

would be converted to 

```
In [2]: pd.read_csv('woo.csv', header=[0,1])
Out[2]: 
   Male                  Female     
      A  B  B.1  B.2  C       D  D.1
0     1  2    3    4  5       6    7
1     1  2    3    4  5       6    7
2     1  2    3    4  5       6    7
3     1  2    3    4  5       6    7
4     1  2    3    4  5       6    7
5     1  2    3    4  5       6    7

[6 rows x 7 columns]
```

@waitingkuo IIUC, the last case is to handle an 'incorrect' multi-index?
 @jreback Yes, multi-index cannot be appended the sequence number in the original version.
 I think at the very least this should be a warning (and then effectively `mangle` the names as you have indicated / maybe even raise.
 Should it also give a warning for the single column case?
 can you post what that case is?
 @waitingkuo can you rebase and see if their are any more issues?
 can you rebase this?
 @waitingkuo what's the state of this?
 @jreback, 
do you mean we still need to give some warning even mangle_dupe_cols is set as True?
 I think you need to give  warning for your case 2) above
 What if I use `pd.read_csv('woo.csv', header=[0,1], mangle_dupe_cols=True)`. Should we still give warning?
 I think you still should do a warning, because you are 'expectnig' a multi-index on the columns, but you won't get one because of the incorrect format. (mangle is the default), kind of an older option (now that can parse multi-column). It was supposed to be defaulted to False in future versions but that broke things so didn't go forward with that.
 now it warns if duplicated columns have been mangled 

woo.csv

```
A,B,B,B,C,D,D
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
```

woo_mul.csv

```
Male,Male,Male,Male,Male,Female,Female
A,B,B,B,C,D,D
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
1,2,3,4,5,6,7
```

# 

```
In [1]: import pandas as pd

In [2]: pd.read_csv('woo.csv', header=[0])
/Users/willy/git/pandas/pandas/io/parsers.py:972: DtypeWarning: Duplicated columns have been mangled
  self._reader = _parser.TextReader(src, **kwds)
Out[2]: 
   A  B  B.1  B.2  C  D  D.1 
0  1  2    3    4  5  6    7   
1  1  2    3    4  5  6    7   
2  1  2    3    4  5  6    7   
3  1  2    3    4  5  6    7   
4  1  2    3    4  5  6    7   
5  1  2    3    4  5  6    7   

[6 rows x 7 columns]

In [3]: pd.read_csv('woo_mul.csv', header=[0,1])
Out[3]: 
   Male                  Female     
      A  B  B.1  B.2  C       D  D.1 
0     1  2    3    4  5       6    7   
1     1  2    3    4  5       6    7   
2     1  2    3    4  5       6    7   
3     1  2    3    4  5       6    7   
4     1  2    3    4  5       6    7   
5     1  2    3    4  5       6    7   

[6 rows x 7 columns]
```
 also need a one-liner in release notes, API change (and same line in v0.14.0.txt)
 Could you give me a hand?

i use `assert_produce_warning` as

```
2607         with tm.assert_produces_warning(DtypeWarning):
2608             df = self.read_csv(StringIO(data), header=[0,1], mangle_dupe_cols=True)
```

But seems it doesn't catch my warning

```
(pandas-dev)appledembp-2:tests willy$ nosetests test_parsers.py
....................../Users/willy/git/pandas/pandas/io/parsers.py:972: DtypeWarning: Duplicated columns have been mangled
  self._reader = _parser.TextReader(src, **kwds)
............................................................................S......................................................F.................................................................................S..........S...............................................................................................................
======================================================================
FAIL: test_list_of_multiple_headers_with_duplicated_column_pairs (pandas.io.tests.test_parsers.TestCParserLowMemory)
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/Users/willy/git/pandas/pandas/io/tests/test_parsers.py", line 2608, in test_list_of_multiple_headers_with_duplicated_column_pairs
    df = self.read_csv(StringIO(data), header=[0,1], mangle_dupe_cols=True)
  File "/usr/local/Cellar/python/2.7.6/Frameworks/Python.framework/Versions/2.7/lib/python2.7/contextlib.py", line 24, in __exit__
    self.gen.next()
  File "/Users/willy/git/pandas/pandas/util/testing.py", line 1505, in assert_produces_warning
    % expected_warning.__name__)
AssertionError: Did not see expected warning of class 'DtypeWarning'.

----------------------------------------------------------------------
Ran 358 tests in 10.321s

FAILED (SKIP=3, failures=1)
```

Anything went wrong? That warning is warned in parser.pyx, a cython file. Does it matter?
 add this to the `setUp` method

`warnings.filterwarnings(action='error', category=DtypeWarning)`

this will then raise on the error and you can see where its coming from
 @waitingkuo update on this?
 @waitingkuo can you address this soon?
 looks good, can you rebase, and add a whatsnew (0.14.1) entry (bug fixes section)
 can you address the comments above. thanks
 @waitingkuo status?
 closing as stale
 @jreback : I'd like to maybe resurrect this given that I've had my share of fun with duplicate columns and indices (which appears to be the cause of this behavior).  What do you think of these changes now? i thought this is much better nowadays - sure go for revival > i thought this is much better nowadays

Sadly not...the test written here fails on `master` Further testing indicates that this PR was not as ready to be merged as previously thought.  It ran into issues when nested duplicates were encountered.  Also, no support for the Python engine was provided.