Found the answer myself, I was using the latest Pandas v1.2.0, where the panel has been removed from Pandas module 0.25.0 onwards.
print(pd.__version__)
print(np.__version__)
1.2.0
1.19.4
From 0.25.0 / 1.2.0 release notes
Warning: The panel has been fully removed. For N-D labeled data structures, please use xarray
unless you want to use xarray, you need to uninstall and install the version prior to that.
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