as suggested in the xtable gallery vignette you should use a sanitization function (as unikum also suggested). Just some dummy code how I got it working with your example:
library(xtable)
adf.results<-matrix(0,ncol=6,nrow=4)
colnames(adf.results) <- c(" ", "$m^r_t$", "$\\delta p_t$","$R^r_t$", "$R^b_t$", "$y^r_t$")
print(xtable(adf.results),sanitize.text.function=function(x){x})
Good luck with it.
Kind regards,
FM