ENH: MNLogit strings/factor

Make sure MNLogit still works with strings, factors, object arrays. This got borked in the object array check that was added. Needs to go in for 0.6. So will also need a PR versus the 0.6.x maintenance branch.
design issue in general   (OK as short term solution)
this isn't really extensible or reusable for other models.
I think it should go into the general data handling in base, and the model should define an option that categorical endog are acceptable and should be converted.
see #2049 
I don't know how this is handled in genmod GLM and GEE