BUG: Warn rather than print

[bashtage]

Warn users abotu convergence rather than priting a message

closes #3794

• closes BUG/REF: discrete fit_regularized uses print instead of warning #3794
• tests added / passed.
• code/documentation is well formatted.
• properly formatted commit message. See
  NumPy's guide.

[codecov]

Codecov Report

Merging #5848 into master will increase coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff            @@
##           master   #5848      +/-   ##
=========================================
+ Coverage    82.5%   82.5%   +<.01%     
=========================================
  Files         597     597              
  Lines       94145   94146       +1     
  Branches    10401   10401              
=========================================
+ Hits        77671   77672       +1     
  Misses      14056   14056              
  Partials     2418    2418

Impacted Files	Coverage Δ
statsmodels/base/l1_solvers_common.py	68.75% <100%> (+1%)	⬆️

---

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[codecov]

Codecov Report

Merging #5848 into master will increase coverage by <.01%.
The diff coverage is 100%.

@@            Coverage Diff            @@
##           master   #5848      +/-   ##
=========================================
+ Coverage    82.5%   82.5%   +<.01%     
=========================================
  Files         597     597              
  Lines       94145   94146       +1     
  Branches    10401   10401              
=========================================
+ Hits        77671   77672       +1     
  Misses      14056   14056              
  Partials     2418    2418

Impacted Files	Coverage Δ
statsmodels/base/l1_solvers_common.py	68.75% <100%> (+1%)	⬆️

---

Continue to review full report at Codecov.

Legend - Click here to learn more
Δ = absolute <relative> (impact), ø = not affected, ? = missing data
Powered by Codecov. Last update 39d2fcb...e348d5b. Read the comment docs.

[coveralls]

Coverage increased (+0.009%) to 85.038% when pulling e348d5b on bashtage:l1-print-warning into 39d2fcb on statsmodels:master.