%% 
%%  A DANTE-Edition example
%% 
%%  Example 02-04-8 on page 43.
%% 
%%  Copyright (C) 2010 Herbert Voss
%% 
%%  It may be distributed and/or modified under the conditions
%%  of the LaTeX Project Public License, either version 1.3
%%  of this license or (at your option) any later version.
%% 
%%  See http://www.latex-project.org/lppl.txt for details.
%% 
%% 
%% ==== 
% Show page(s) 1
%% 
\documentclass[]{article}
\pagestyle{empty}
\setlength\textwidth{201.70511pt}
\setlength\parindent{0pt}
\usepackage[utf8]{inputenc}
\AtBeginDocument{\setbox0\hbox{$ $}}

\usepackage{blkarray}
\BAtablenotestrue

\begin{document}
\begin{blockarray}{|c||c|}
   I\footnotetext[\textsc{sourceA:}]{Chicago Manual of Style.}
 & II\footnote{Note on II. This is a particularly long footnote to demonstrate a line break
    in the footnote.}\\
   \begin{blockarray}{(ll)}
     \footnotetext[\textsc{sourceB:}]{Chicago Manual of Style.}
     \footnotetext[\textsc{noteA:}]{The statement above is incorrect.}
     left column--1 & left--2 \\
     left--3\footnote{Footnote on left-3.} & left--4\\
   \end{blockarray} & \begin{blockarray}{(ll)}
     \footnotetext[\textsc{sourceC:}]{Chicago Manual of Style.}
     \footnotetext[\textsc{noteB:}]{The statement above is incorrect.}
     right column--1 & right--2 \\
     right--3\footnote{Footnote on right-3.} & right--4\\
   \end{blockarray}\\
 III\footnote{Note on THREE.} & IV \\
\end{blockarray}
\end{document}