Produce sufficient statistics (lambda0) given the common coefficients (rho0)
get_lambda0(rho, alpha = rep(0, n_alpha), N, T, n_alpha, Y_mat, X_mat, W,
Z_mat)lagged dependent variable coefficients
external variables coefficients
cross-sectional dimension of the data
time dimension of the data
number of external variables
dependent variable matrix
lagged dependent variable matrix
cross-sectionally invariant variables - not used now
external variable matrix