Handling Latex backslashes in xtable

Two issues here; first, you need a double backslash as otherwise it treats it as a control sequence. Second, by default, xtable sanitizes text so that it won't break LaTeX. Use one of the sanitize. parameters to control this; to do no sanitizing, pass it the identity function.

colnames(mytable) <- "$\\beta_0$"
print(xtable(mytable), include.rownames = F, sanitize.colnames.function = identity)

this is what did the trick for me:

mat <- round(matrix(c(0.9, 0.89, 200, 0.045, 2.0), c(1, 5)), 4)
rownames(mat) <- "$y_{t-1}$"
colnames(mat) <- c("$R^2$", "$\\bar{x}$", "F-stat", "S.E.E", "DW")
mat <- xtable(mat)
print(mat, sanitize.text.function = function(x){x})

This way you avoid the backslash issue in the table text.