ENH: Support MultiIndex columns in parquet #34777

1. Fix PEP8 issue for error message in check for MultiIndex columns

Author: hweecat

pandas/io/parquet.py

@@ -59,7 +59,10 @@ def validate_dataframe(df: DataFrame):
                 x.inferred_type in {"string", "empty"} for x in df.columns.levels
             ):
                 raise ValueError(
-                    "parquet must have string column names for all values in each level of the MultiIndex"
+                    """
+                    parquet must have string column names for all values in
+                     each level of the MultiIndex
+                    """
                 )
         else:
             if df.columns.inferred_type not in {"string", "empty"}: