I have a problem trying to fit a penalised multinomial model that helps in variable selection. The data consist of per semester record of students performances from registration to either dropout or completion. So I have multiple record per student with time being the semester registered. So a student who dropouts after 3 semesters with have the records of time as 1, 2 and 3. The data also has information about the student such as gender, whether the student perceived financial aid during the particular semester and other time varying variables and some fixed variables. Basically it is a discrete time competing survival model. However, because the simple multinomial distribution does not do variable selection, I wish to know if someone can assist me with some R code or resources that can solve this problem. I have some articles that use two penalised coefficient one for variable selection and the other for adjusting the baseline hazard but with no codes.
Thanks