[Limdep Nlogit List] Panel Sample Selection

[Murat Genc]

Dear All,

I'm trying to estimate a random effects panel sample selection model.  As I understand it, there are two ways of doing this.  You can either use the set-up described in pages E30-42-43 in Vol 2 of the Econometric Modeling Guide or use the set-up for a random parameters model described on page E30-53 by letting only the constant term to have a random coefficient.  

I have tried both for the model I have.  The first set-up, rem, does not work but the second one does.  That is, when I use the rem set-up, the results I get do not make sense in that the p-values of all the estimated coefficients in the probit equation are 1!  However, when I use the rpm set-up, this problem disappears.  

Can anyone provide some explanation as to why this happens?  

The commands I execute are as follows, and I have included the output file as an attachment if you'd care to have a look.

namelist; origin=ONE,LNMIGRAN,ZERO_MIG,lnngdpnz,lnngdp,LNNWGDP,lnnpop
    ,LNDISTCA,NON_ENGL,AV_LNMIG,avlngdp,avlnpop,D1995$

/* Rem */
probit; lhs=EX_PROBI;rhs=origin;Hold$
select; lhs=LNEX_NZ_;rhs=origin;mle;par$
select; lhs=LNEX_NZ_;rhs=origin;rpm;pds=grpsize;fcn=rem,maxit=400;halton$

/* rem via rpm */

probit; lhs=EX_PROBI;rhs=origin;Hold;rpm;pds=grpsize;fcn=one(n)$
select; lhs=LNEX_NZ_;rhs=origin;rpm;pds=grpsize;fcn=one(n);par;maxit=400$

 I have an unbalanced panel.  ZERO_MIG, NON_ENGL, and D1995 are dummy variables, AV_LNMIG,avlngdp,avlnpop are group means of the corresponding variables, LNDISTCA and NON_ENGL are constant over time.  The model suffers from not having an exclusion restriction.  
 <<rem via rpm email Output.lim>>  <<rem Output email.lim>> 

Thanks for your time.

Murat

	Dr M Genç
	Department of Economics
	University of Otago
	P O Box 56
	Dunedin, New Zealand 
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	* E-Mail: mgenc at business.otago.ac.nz	
	* Phone: +64 3 479 8644					 
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	* Web: <www.otago.ac.nz/economics>	
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