Sparse solver for OLS

[chunkaowang]

In OLS estimation, when the number of discrete factors in the model is large, the estimation is too slow.
It is better to add sparse solver to speedup the calculation because LSH of the model is sparse for this case.

[josef-pkt]

#2711 pull request with draft code
#2710 more general question for all/many models
relate absorbing fixed effects.

I didn't see an issue specifically for linear regression model, OLS, WLS

linearmodelspackage supports absorbing fixed effects for panel data

[lorentzenchr]

OLS for sparse X should be relatively easy with the help of scipy.sparse.linalg.lsqr or scipy.sparse.linalg.lsmr.