Which software could help me do a 'generalized multinomial logit (G-MNL) model?

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Alexander Tarvid

In Stata, you'll need a user-written gmnl package (type findit gmnl and follow instructions to install).

In R, you'll need a gmnl package (see https://cran.r-project.org/web/packages/gmnl/gmnl.pdf for help).

Shubhajit Sadhukhan

Thank you @Alexander Tarvid for your suggestions.

Tao Bu

SAS and R might be a good choice