TST: Improve thread safety of tests

[bashtage]

• closes #xxxx
• tests added / passed.
• code/documentation is well formatted.
• properly formatted commit message. See
  NumPy's guide.

Details

Notes:

• It is essential that you add a test when making code changes. Tests are not
  needed for doc changes.
• When adding a new function, test values should usually be verified in another package (e.g., R/SAS/Stata).
• When fixing a bug, you must add a test that would produce the bug in main and
  then show that it is fixed with the new code.
• New code additions must be well formatted. Changes should pass flake8. If on Linux or OSX, you can
  verify you changes are well formatted by running

  git diff upstream/main -u -- "*.py" | flake8 --diff --isolated
  

  assuming flake8 is installed. This command is also available on Windows
  using the Windows System for Linux once flake8 is installed in the
  local Linux environment. While passing this test is not required, it is good practice and it help
  improve code quality in statsmodels.
• Docstring additions must render correctly, including escapes and LaTeX.

[github-advanced-security]

CodeQL found more than 20 potential problems in the proposed changes. Check the Files changed tab for more details.

[bashtage]

• FAILED statsmodels/regression/tests/test_rolling.py::test_has_nan[250-3-True-True-0.1]
• FAILED statsmodels/emplike/tests/test_anova.py::TestANOVA::test_anova - AssertionError:
• FAILED statsmodels/regression/tests/test_recursive_ls.py::test_plots - ValueError:
• FAILED statsmodels/tsa/statespace/tests/test_models.py::TestIntercepts::test_smoothed_forecasts - AssertionError:
• FAILED statsmodels/emplike/tests/test_aft.py::Test_AFTModel::test_beta1 - AssertionError:
• FAILED statsmodels/tools/tests/test_grouputils.py::TestMultiIndexGrouping::test_dummy_sparse - AssertionError:
• FAILED statsmodels/emplike/tests/test_aft.py::Test_AFTModel::test_beta0 - AssertionError:
• FAILED statsmodels/discrete/tests/test_count_model.py::TestZeroInflatedGeneralizedPoisson_predict::test_predict_prob - AttributeError: 'GeneralizedPoisson' object has no attribute 'offset'