GPT2 not in modeltype
## 🐛 Bug

<!-- Important information -->

Model I am using (Bert, XLNet....): GPT2

Language I am using the model on (English, Chinese....): ENGLISH

The problem arise when using:
* [ ] the official example scripts: (give details) run_glue.py
* [ ] my own modified scripts: (give details)

The tasks I am working on is:
* [ ] an official GLUE/SQUaD task: (give the name) MRPC GLUE
* [ ] my own task or dataset: (give details)

## To Reproduce

Steps to reproduce the behavior:

1.
2.
3.

python ./examples/run_glue.py --model_type gpt2 --model_name_or_path gp
t2 --task_name MRPC --do_train --do_eval --do_lower_case --data_dir ./fake --max_seq_length 512 --per_gpu_eval_batc
h_size=8 --per_gpu_train_batch_size=8 --learning_rate 2e-5 --num_train_epochs 3.0 --output_dir /tmp/bot/
10/18/2019 00:22:28 - WARNING - __main__ -   Process rank: -1, device: cuda, n_gpu: 1, distributed training: False,
 16-bits training: False
Traceback (most recent call last):
  File "./examples/run_glue.py", line 541, in <module>
    main()
  File "./examples/run_glue.py", line 476, in main
    config_class, model_class, tokenizer_class = MODEL_CLASSES[args.model_type]
KeyError: 'gpt2'
## Environment

* OS: UBUNTU LINUX
* Python version: 3.7
* PyTorch version: LATEST
* PyTorch Transformers version (or branch): LATEST
* Using GPU ? YES
* Distributed of parallel setup ? NO
* Any other relevant information:

## Additional context

<!-- Add any other context about the problem here. -->

Hey @tuhinjubcse gpt2 is a text generation model. If you look in the run_glue.py file you will see your options for model selection for using the run_glue.py script.
```
MODEL_CLASSES = {
    'bert': (BertConfig, BertForSequenceClassification, BertTokenizer),
    'xlnet': (XLNetConfig, XLNetForSequenceClassification, XLNetTokenizer),
    'xlm': (XLMConfig, XLMForSequenceClassification, XLMTokenizer),
    'roberta': (RobertaConfig, RobertaForSequenceClassification, RobertaTokenizer),
    'distilbert': (DistilBertConfig, DistilBertForSequenceClassification, DistilBertTokenizer)
}
```<|||||>gpt2 is a transformer model. Why would it be limited to only generation ??<|||||>It's not that you can't use it for classification, etc. It's that you would need to make a few changes to the code and model. #1248 . Right now the changes are not made for gpt2. Generally speaking, people use gpt2 for text generation.<|||||>Autoregressive models are not as good as mlms, at classification tasks. You should check masked language models (mlm) or similars. But it's not impossible, Open AI has shown some example use cases on original [GPT paper](https://s3-us-west-2.amazonaws.com/openai-assets/research-covers/language-unsupervised/language_understanding_paper.pdf). Check the figure 1 and page 6 for more details.
Also, this is not a bug but just not implemented. <|||||>This issue has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.
