ENH: Support pathlib.Path and LocalPath objects in all io functions

[chris-b1]

xref #16292

Currently xfailing tests for (all should work)

• SAS
• msgpack
• stata
• HDFStore (pd.HDFStore doesn't accept pathlib objects #14705)

[jorisvandenbossche]

Some issues that could probably folded into this one (or are in the meantime fixed by your PR):

• pd.HDFStore doesn't accept pathlib objects #14705 (HDFStore)
• pd.read_pickle, pd.DataFrame.to_pickle do not accept pathlib.Path objects #14932 (pickle)

[bashtage]

stata looks fixed

[kszucs]

read_json and to_json also should support pathlib.Path objects

[jorisvandenbossche]

@kszucs I think read_json already supports pathlib objects? (quickly tried with master)
Do you have a reproducible example?

[wasdee]

as 2019-Jul,
any updates?, I wish I could help with this topic.

[TomAugspurger]

We should be good. Let's open specific issues if any of the readers / writers don't support objects implementing the fspath protocol.