Creating an AbstractDataFrame subtype

As I understand it,
Panel Data is already represented as a GroupedDataFrame where you groupby the unit/location/etc, and you have a time column.

We should think about adding lags overloads for that in packages that do lags.

For years I was confused by panel data, until I realized that.
I think encouraging thinking of it as 1 particular case of groupby/GroupedDataFrame is good.
Econometricians have played us for fools.

I also support innovation, I am just not convinced that it requires a subtype. I may be mistaken, but this looks like something that can be handled with the existing API (possibly calling groupby, but hiding that from the user when it makes sense).