Hi all,

I normally include covariates in my regression models based on theoretical considerations, but in this case there is no research or theory to suggest which covariates to use and I am only concerned with predicting values that best match the observed values. My goal is to use the predicted values for observations that are missing values on the dependent variable (i.e., imputation by linear regression). I looked into Stata's lasso, stepwise, and elasticnet and none allow for a mlogit model. I'm sure there is a good reason for this, but I don't know what it is. Can anyone suggest a method for a data-driven prediction model for mlogit?

Thank you.
Tom