Q: Is there an approach, less hacky than my \MyLen approach, that would generate roughly the second table below? I'd like to maintain professional features (but I welcome criticisms wholeheartedly!) like (1) booktabs effects, (2) right alignment of data, (3) no vertical rules, (4) horizontal rule only to separate estimators and column titles, (5) equal column widths, (6) and tight spacing of columns.
I generated the following table and thought it didn't look terribly professional because of the different column widths (Q: Am I wrong? Should this table be left alone?)
\documentclass{article}
\usepackage{booktabs}
\usepackage{diagbox}
\usepackage{tabularx}
\begin{document}
\begin{table}[ht]
\centering
\begin{tabular}{@{}lrrrrrrrr@{}}
\toprule
& \multicolumn{4}{l}{MPE} & \multicolumn{4}{l}{MAPE}\\
\cmidrule(r){1-1} \cmidrule(lr){2-5} \cmidrule(l){6-9}
\diagbox[trim=lr]{Est.}{Jumps} & 0 & 3 & 10 & 30 & 0 & 3 & 10 & 30 \\
\midrule
$\widetilde{JV}$ & 2.14 & 2.42 & 1.35 & $-$1.69 & 2.14 & 4.57 & 4.92 & 4.74 \\
$\widehat{JV}$ & 1.99 & 2.16 & 1.12 & $-$1.83 & 1.99 & 4.47 & 4.91 & 4.81 \\
$\widehat{JV}_{\mathrm{BNS04}}$ & 0.35 & $-$4.35 & $-$12.91 & $-$26.35 & 3.11 & 5.48 & 12.95 & 26.35 \\
\midrule
$\widetilde{IV}$ & $-$2.03 & $-$2.52 & $-$1.33 & 1.73 & 6.54 & 6.37 & 5.24 & 3.71 \\
$\widehat{IV}$ & $-$1.87 & $-$2.26 & $-$1.10 & 1.87 & 6.48 & 6.31 & 5.23 & 3.80 \\
$\widehat{IV}_{\mathrm{BNS04}}$ & $-$0.24 & 4.25 & 12.93 & 26.39 & 6.61 & 7.06 & 13.11 & 26.39 \\
\bottomrule
\end{tabular}
\caption{my caption}
\end{table}

\newlength{\MyLen}
\settowidth{\MyLen}{$-$26.35}
\newcolumntype{R}{>{\raggedleft\arraybackslash}p{\the\MyLen}}
\begin{table}[ht]
\centering
\begin{tabular}{@{}lRRRRRRRR@{}}
\toprule
& \multicolumn{4}{l}{MPE} & \multicolumn{4}{l}{MAPE}\\
\cmidrule(r){1-1} \cmidrule(lr){2-5} \cmidrule(l){6-9}
\diagbox[trim=lr]{Est.}{Jumps} & 0 & 3 & 10 & 30 & 0 & 3 & 10 & 30 \\
\midrule
$\widetilde{JV}$ & 2.14 & 2.42 & 1.35 & $-$1.69 & 2.14 & 4.57 & 4.92 & 4.74 \\
$\widehat{JV}$ & 1.99 & 2.16 & 1.12 & $-$1.83 & 1.99 & 4.47 & 4.91 & 4.81 \\
$\widehat{JV}_{\mathrm{BNS04}}$ & 0.35 & $-$4.35 & $-$12.91 & $-$26.35 & 3.11 & 5.48 & 12.95 & 26.35 \\
\midrule
$\widetilde{IV}$ & $-$2.03 & $-$2.52 & $-$1.33 & 1.73 & 6.54 & 6.37 & 5.24 & 3.71 \\
$\widehat{IV}$ & $-$1.87 & $-$2.26 & $-$1.10 & 1.87 & 6.48 & 6.31 & 5.23 & 3.80 \\
$\widehat{IV}_{\mathrm{BNS04}}$ & $-$0.24 & 4.25 & 12.93 & 26.39 & 6.61 & 7.06 & 13.11 & 26.39 \\
\bottomrule
\end{tabular}
\caption{my caption}
\end{table}

I like this table. More professional (But again, any comments? On second look, the columns do look a little wide). Although, I don't like having to use the \MyLen hack. I thought there might be a less hacky approach using the tabularx package:
\newcolumntype{R}{>{\raggedleft\arraybackslash}X}
\begin{table}[ht]
\centering
\begin{tabularx}{\linewidth}{@{}lRRRRRRRR@{}}
\toprule
& \multicolumn{4}{l}{MPE} & \multicolumn{4}{l}{MAPE}\\
\cmidrule(r){1-1} \cmidrule(lr){2-5} \cmidrule(l){6-9}
\diagbox[trim=lr]{Est.}{Jumps} & 0 & 3 & 10 & 30 & 0 & 3 & 10 & 30 \\
\midrule
$\widetilde{JV}$ & 2.14 & 2.42 & 1.35 & $-$1.69 & 2.14 & 4.57 & 4.92 & 4.74 \\
$\widehat{JV}$ & 1.99 & 2.16 & 1.12 & $-$1.83 & 1.99 & 4.47 & 4.91 & 4.81 \\
$\widehat{JV}_{\mathrm{BNS04}}$ & 0.35 & $-$4.35 & $-$12.91 & $-$26.35 & 3.11 & 5.48 & 12.95 & 26.35 \\
\midrule
$\widetilde{IV}$ & $-$2.03 & $-$2.52 & $-$1.33 & 1.73 & 6.54 & 6.37 & 5.24 & 3.71 \\
$\widehat{IV}$ & $-$1.87 & $-$2.26 & $-$1.10 & 1.87 & 6.48 & 6.31 & 5.23 & 3.80 \\
$\widehat{IV}_{\mathrm{BNS04}}$ & $-$0.24 & 4.25 & 12.93 & 26.39 & 6.61 & 7.06 & 13.11 & 26.39 \\
\bottomrule
\end{tabularx}
\caption{my caption}
\end{table}

I like that the columns are tighter but there is some weird stuff going on with that 3rd data row (Q: Any clue what's going on there?)


kbordermatrixdoes this (I think) to maintain a balanced look. Foregoing this,\MyLenis the easy (and convenient) way out if you know your table entries. – Werner Jan 21 '12 at 21:42