Compression keyword for Stata and others?
Hi,

I was trying to open zipped Stata files and thought one could do it as in ``read_csv``using  the ``compression='zip'`` keyword option. Is this not implemented? Saw #15644 and follow ups, but at the time it seems the discussion was about output not input files. In many cases providers give Stata files in zip format, which e.g. in my case may mean 1000's of different zipped archives containing Stata + other files. #12103 seems to have added the functionality more generally, but at least in ``pd.__version__=0.23.4`` it still complains when passing the ``compression`` keyword. I do not see the option in ``pandas/io/stata.py`` although in ``common.py`` the option seems to be there. Any pointers? I am happy to contribute if I can figure out where and how this is implemented for other formats.