Try running just the R code, and you'll get a warning that tells you why the row names aren't showing up:
library(xtable)
table.matrix <- matrix(numeric(0), ncol = 5, nrow = 12)
colnames(table.matrix) <- c("$m_t$", "$p_t$", "$R^b_t$", "$R^m_t$", "$y^r_t$")
rownames(table.matrix) <- c("$m_{t-1}$", " ", "$p_{t-1}$", " ", "$R^b_{t-1}$", " ", "$R^m_{t-1}$", " ", "$y^r_t$", " ", "$c$", " ")
xtable(table.matrix)
# Warning message:
# In data.row.names(row.names, rowsi, i) :
# some row.names duplicated: 4,6,8,10,12 --> row.names NOT used
So you can't have duplicated rownames
in R. You could solve this by making a name "column" instead of using rownames
.