I want to have column names on each page of the xtable.
\\documentclass{article}
\\usepackage{graphicx}
\\usepackage{longtable}
\\begin{document}
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I think this is really a LaTeX question, which I simply Googled and ended up with a simple answer from tex.stackexchange.com here.
Try this (untested in LaTeX; will be curious if this compiles the way you want):
print(x.big,tabular.environment='longtable',
floating=FALSE,
hline.after = c(-1,nrow(x.big)),
add.to.row = list(pos = list(0),command = "\\hline \\endhead "))