Heteroskedastic logit Model in R

Can't help with specifics without a reprex. See the FAQ.

Run the example given in the vignette you linked. Before running mlogit(), data must first be transformed with dfidx().

From help(mlogit)

The data argument may be an ordinary data.frame . In this case, some supplementary arguments should be provided and are passed to mlogit.data() . Note that it is not necessary to indicate the choice argument as it is deduced from the formula.

mlogit.data() is not deprecated and dfidx:: dfidx() is now required to prepare the required idnames arguments. For a data frame object, those must be prepared manually.