spglm supports python 3.5 and 3.6 only. Please make sure that you are operating in a python 3 environment.
spglm is available on the Python Package Index. Therefore, you can either install directly with pip from the command line:
pip install -U spglm
or download the source distribution (.tar.gz) and decompress it to your selected destination. Open a command shell and navigate to the decompressed folder. Type:
pip install .
Potentially, you might want to use the newest features in the development version of spglm on github - pysal/spglm while have not been incorporated in the Pypi released version. You can achieve that by installing pysal/spglm by running the following from a command shell:
pip install https://github.com/pysal/spglm/archive/master.zip
You can also fork the pysal/spglm repo and create a local clone of your fork. By making changes to your local clone and submitting a pull request to pysal/spglm, you can contribute to the mgwr development.