Megatron conversion code converts some weights in fp16 to fp32(or uint8).
## Environment info
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transformers version: 4.9.2
Platform: Linux-4.18.0-25-generic-x86_64-with-glibc2.10
Python version: 3.8.5
PyTorch version (GPU?): 1.8.0a0+52ea372 (True)
Tensorflow version (GPU?): not installed (NA)
Flax version (CPU?/GPU?/TPU?): not installed (NA)
Jax version: not installed
JaxLib version: not installed
Using GPU in script?:
Using distributed or parallel set-up in script?: No



### Who can help
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## Information

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

The problem arises when using:
* [ ] the official example scripts: (give details below)
* [ ] my own modified scripts: (give details below)

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

## To reproduce

1. Check the data type of original megatron checkpoint. It's all in fp16.
```bash
wget --content-disposition  https://api.ngc.nvidia.com/v2/models/nvidia/megatron_lm_345m/versions/v0.0/zip -O checkpoint.zip
unzip checkpoint.zip
python -c "import torch; from pprint import pprint as print; sd=torch.load('./release/mp_rank_00/model_optim_rng.pt'); d= {d.dtype: 1 for d in sd['model']['language_model']['transformer'].values()}; print(d.keys())"
# dict_keys([torch.float16])
```

2. But the [current conversion script](https://github.com/huggingface/transformers/blob/master/src/transformers/models/megatron_gpt2/convert_megatron_gpt2_checkpoint.py) converts some into [float32](https://github.com/huggingface/transformers/blob/91ff480e2693f36b11aaebc4e9cc79e4e3c049da/src/transformers/models/megatron_gpt2/convert_megatron_gpt2_checkpoint.py#L164) and [uint8](https://github.com/huggingface/transformers/blob/91ff480e2693f36b11aaebc4e9cc79e4e3c049da/src/transformers/models/megatron_gpt2/convert_megatron_gpt2_checkpoint.py#L160). This leads to a model with data type which is not faithful to the original model, and potentially a problem as discussed in #13076 
```
python3 /hf/transformers-master/src/transformers/models/megatron_bert/convert_megatron_gpt2_checkpoint.py checkpoint.zip
python -c "import torch; sd=torch.load('pytorch_model.bin');  d = {p.dtype:1 for p in sd.values() }; print(d.keys())"
# dict_keys([torch.float16, torch.float32, torch.uint8])
```

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## Expected behavior
Converted checkpoint should have the same data type as the original one.
<!-- A clear and concise description of what you would expect to happen. -->

I will open a new PR to address this :)