Very common and feels very natural to me. "You have to be kidding me" "He had to have been kidding" "He had to have been kidding me" or the rougher "he had to have been fucking with me" and "he must have been fucking with me" although "must have", of course, implies more certainty than "had to have". What a wonderfully subtle and complex language we have.

"to be ing", "was ing", and "will be *ing" if I remember correctly, are actually thought to be an early borrowing of celtic grammar. Not much celtic anything was adopted into English, but there's a possibility that this sentence structure may be one of the few contributions of the celtic languages that were displaced by germanic Anglo-Saxon languages that eventually formed English.